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A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (31 December 2019) | Viewed by 77884

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Special Issue Editors

Prof. Dr. Duc Khuong Nguyen

E-Mail Website
Guest Editor

1. IPAG Business School, 75006 Paris, France;
2. VNU International School, Hanoi 100000, Vietnam
Interests: asset pricing; energy finance; financial economics; financial modeling
Special Issues, Collections and Topics in MDPI journals

Prof. Dr. Stéphane Goutte

E-Mail Website
Guest Editor

CEMOTEV, University Paris-Saclay, Bâtiment Bréguet, 3 Rue Joliot Curie 2e ét, 91190 Gif-sur-Yvette, France
Interests: mathematical finance; energy finance; applied econometrics; computational econometrics; financial econometrics

Special Issue Information

Dear Colleagues,

In her recent speech at the University of Maryland, on 4 February 2016, Christine Lagarde, the Managing Director of International Monetary Fund, pointed out the increasing importance of emerging markets countries as a locomotive of the global growth (80% since the global financial crisis of 2008), job creations, poverty reduction and international trade activities. Together with other developing economies, they now contribute up to 60% of global GDP. However, emerging markets are still found to be vulnerable to external shocks, essentially due to their ongoing maturing institutions and increased financial tights with their developed counterparts. High exposure to decreases in capital outflows following a more-rapid-than-expected tightening of the US monetary policy is another reason that could challenge economic growth and financial development of emerging markets.

This Special Issue will dedicate special attention to the current dynamics of emerging financial markets, as well as their perspectives of development as a key driver for sustainable firms and economies. Accordingly, the focus is particularly placed on market integration and interdependence, valuations and risk management practices, and the financing means for inclusive growth.

Topics of interest include, but are not limited to:

Financial markets and efficiency
Asset pricing models
Sustainable finance
Cost of capital in emerging markets
Determinants of saving and investment
Capital flows
Exchange rate volatility
Sovereign risks
Policy uncertainty and financial risk
Stock market co-movement and contagion
Cross-border investments

Prof. Dr. Duc Khuong Nguyen
Prof. Dr. Stéphane Goutte
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

Valuation models
Risk sharing and management
Financial integration
Sustainable finance
International investments
Capital mobility

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Published Papers (11 papers)

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Research

17 pages, 364 KiB

Open AccessArticle

European Bank’s Performance and Efficiency

by Maria Elisabete Duarte Neves, Maria Do Castelo Gouveia and Catarina Alexandra Neves Proença

J. Risk Financial Manag. 2020, 13(4), 67; https://doi.org/10.3390/jrfm13040067 - 5 Apr 2020

Cited by 21 | Viewed by 4923

Abstract

The research interest in bank profitability and efficiency is linked to the economic situation and an important issue for policymakers is to ensure economic stability. Nevertheless, managerial decisions and the environment could play a critical role in ensuring proper and efficient allocation of the resources. The purpose of this study is to understand which are the main factors that can influence the performance and efficiency of 94 commercial listed banks from Eurozone countries through a dynamic evaluation, in the period between 2011 and 2016. To achieve this aim, the generalized method of moments estimator technique is used to analyze the influence of some bank-specific characteristics, controlled by management, on the profitability as a measure of bank performance. After that, through the value-based data envelopment analysis (DEA) methodology, those factors are considered in determining the efficient banks. The results show that banking efficiency depends on set bank-specific characteristics and that the effect of determinants on efficiency differs, considering the macroeconomic conditions. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

26 pages, 776 KiB

Open AccessArticle

Exchange Rate Misalignment and Capital Flight from Botswana: A Cointegration Approach with Risk Thresholds

by Mpho Bosupeng, Janet Dzator and Andrew Nadolny

J. Risk Financial Manag. 2019, 12(2), 101; https://doi.org/10.3390/jrfm12020101 - 17 Jun 2019

Cited by 5 | Viewed by 5711

Abstract

This study investigates the impact of exchange rate misalignment on outward capital flight in Botswana over the period 1980–2015. The study uses the autoregressive distributed lag (ARDL) approach to cointegration and the Toda and Yamamoto (1995) approach to Granger causality. Botswana’s currency misalignment was caused by current account imbalances. The most important determinant of capital flight from Botswana is trade openness, which indicates that exportable commodities are misinvoiced leading to net capital outflows. Our main findings show that in the long-run, when the currency is overvalued, the volume of capital flight through trade misinvoicing declines and increasing foreign reserves does not reduce outward capital flight. However, when the currency is undervalued, the volume of capital flight through trade misinvoicing increases and foreign reserves reduce outward capital flight. Investors respond more to prospects of devaluation than to inflation. Botswana should tolerate overvaluation of the pula of only up to 5%. When the pula is overvalued beyond 5%, capital flight increases substantially. The government has to formulate trade regulations and monitor imported and exported commodities. Botswana should also implement capital controls to limit capital smuggling and maintain monetary autonomy. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

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17 pages, 236 KiB

Open AccessArticle

The Impact of Corporate Diversification and Financial Structure on Firm Performance: Evidence from South Asian Countries

by Rashid Mehmood, Ahmed Imran Hunjra and Muhammad Irfan Chani

J. Risk Financial Manag. 2019, 12(1), 49; https://doi.org/10.3390/jrfm12010049 - 25 Mar 2019

Cited by 59 | Viewed by 13525

Abstract

We examined the impact of corporate diversification and financial structure on the firms’ financial performance. We collected data from 520 manufacturing firms from Pakistan, India, Sri Lanka, and Bangladesh. We used panel data of 14 years from 2004–2017 to analyze the results. We applied a two-step dynamic panel approach to analyze the hypotheses. We found that product diversification and geographic diversification significantly affected the firms’ financial performance. We further found that dividend policy and capital structure had a significant impact on the firm’s financial performance. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

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24 pages, 574 KiB

Open AccessArticle

Determinants and Impacts of Financial Literacy in Cambodia and Viet Nam

by Peter J. Morgan and Long Q. Trinh

J. Risk Financial Manag. 2019, 12(1), 19; https://doi.org/10.3390/jrfm12010019 - 24 Jan 2019

Cited by 50 | Viewed by 13305

Abstract

Our paper extends the literature on the determinants and impacts of financial literacy by conducting the OECD/INFE survey in two relatively low-income Asian economies—Cambodia and Viet Nam—and analyzing the determinants of financial literacy and the effects of financial literacy on savings and financial inclusion. Generally, our study corroborates the findings of studies of other countries, but uncovers some differences as well. The main determinants of financial literacy are found to be educational level, income, age, and occupational status. Both financial literacy and general education levels are found to be positively and significantly related to savings behavior and financial inclusion, and these results generally hold even when correcting for possible endogeneity of financial literacy. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

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25 pages, 1162 KiB

Open AccessArticle

Exchange Rate Volatility and Disaggregated Manufacturing Exports: Evidence from an Emerging Country

by Duc Hong Vo, Anh The Vo and Zhaoyong Zhang

J. Risk Financial Manag. 2019, 12(1), 12; https://doi.org/10.3390/jrfm12010012 - 9 Jan 2019

Cited by 24 | Viewed by 6361

Abstract

The link between export performance and exchange rate policy has been attracting attention from policymakers, academics, and practitioners for some time, particularly for emerging countries. It has been recently claimed that implementing a policy that devalues the currency in Vietnam is an important factor for enhancing its export performance. However, it is also argued that such a policy could result in the harmful consequence of exchange rate volatility. This study analyzes the link between exchange rate devaluation, volatility, and export performance. The analysis focuses on the manufacturing sector and 10 of its subsectors that were engaged in the export of goods between Vietnam and 26 key export partners during the 2000–2015 period. Potential factors that could affect this relationship, such as the global financial crisis, Vietnam’s participation in the World Trade Organization, or even the export partners’ geographic structures, are also accounted for in the model. The findings confirm that a strategy that depreciates Vietnam’s currency appears to enhance manufacturing exports in the short run, whereas the resulting exchange rate volatility has clear negative effects in the long run. The impact of exchange rate volatility on manufacturing subsectors depends on two factors, namely, (i) the type of export and (ii) the export destination. Policy implications emerging from these conclusions are presented. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

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13 pages, 574 KiB

Open AccessArticle

Using Unconventional Wisdom to Re-Assess and Rebuild the BRICS

by Bertrand Guillotin

J. Risk Financial Manag. 2019, 12(1), 8; https://doi.org/10.3390/jrfm12010008 - 7 Jan 2019

Cited by 1 | Viewed by 7175

Abstract

In 2015, Goldman Sachs closed its BRIC (Brazil, Russia, India, China) fund after years of losses and plummeting assets. Emerging markets had, once again, turned into submerging markets. Their dependence on “developed” markets and established institutions had failed them in a post-Global Financial Crisis (GFC) era, anchored in protectionism, risks, volatility, and uncertainty. The once commonly-accepted wisdom that called for US housing prices to always increase was part of the problem and contagion. Rebuilding the BRICS (S for South Africa) using conventional wisdom would probably not work. A new approach is necessary, especially since the last key contributions to show the inadequacy of a conventional wisdom-based strategy in emerging markets are more than ten years old. To help fill this gap, this paper proposes a holistic analytical framework for strategists to re-assess risks and opportunities in the BRICS. We illustrate how five basic assumptions can be proven wrong and lead to the creation of unconventional wisdom that can help derive some strategic insights. We find that rebuilding the BRICS for them to be more resilient is possible, if not vital, for the health of the global economy. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

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20 pages, 557 KiB

Open AccessArticle

Contagion Risks in Emerging Stock Markets: New Evidence from Asia and Latin America

by Thi Bich Ngoc TRAN

J. Risk Financial Manag. 2018, 11(4), 89; https://doi.org/10.3390/jrfm11040089 - 14 Dec 2018

Cited by 2 | Viewed by 4045

Abstract

The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models (DCC-GARCH(1,1)) to daily stock-index returns of eight Asian stock markets, six Latin American stock markets and US stock market. Defining contagion as a significant increase of dynamic conditional correlations, we test for contagion by using a difference test for DCC means. The results obtained shows that there is a pure contagion from crisis-originating markets to other emerging stock markets during these three crisis. However, the contagion effects are different from one crisis to the other. Firstly, during the Mexican crisis, contagion is detected in only the Latin American region. Secondly, during the Asian crisis, we find evidence of contagion in some markets in both the Asian and Latin American regions. Finally, contagion is proved to be present in all stock markets with the only exception for Brazil during US subprime crisis. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

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19 pages, 2506 KiB

Open AccessArticle

Incorporating Credit Quality in Bank Efficiency Measurements: A Directional Distance Function Approach

by Abdul Qayyum and Khalid Riaz

J. Risk Financial Manag. 2018, 11(4), 78; https://doi.org/10.3390/jrfm11040078 - 9 Nov 2018

Cited by 5 | Viewed by 3512

Abstract

The objective of the study was to measure the risk-adjusted efficiency of banks in 24 emerging economies for the period of 1999–2013. A two-stage network data envelopment analysis (DEA), with separate deposit mobilization and loan financing stages was used. Efficiency was measured using directional distance functions with DEA, featuring non-performing loans as undesirable outputs. The distributions of efficiency scores were different when credit quality was taken into account. The distribution of efficiency scores varied systematically with accumulation of non-performing loans across regions. The financial crisis of 2007–2008 impacted more adversely the regions that had higher proportions of non-performing loans in banks’ portfolios. The results of a follow-on non-parametric regression showed that smaller, better capitalized, and private banks were more efficient. The conditions conducive for high levels of technical efficiency by banks were found to be characterized by economic growth and low inflation. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

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17 pages, 3764 KiB

Open AccessArticle

A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange

by Maria Sochi and Steve Swidler

J. Risk Financial Manag. 2018, 11(4), 59; https://doi.org/10.3390/jrfm11040059 - 2 Oct 2018

Cited by 3 | Viewed by 3741

Abstract

A ban on short selling exists on several exchanges, especially in emerging markets. In most cases, short selling has always been prohibited, thus making it difficult to examine the ban’s effect on price discovery. In this paper, we consider data from the Dhaka Stock Exchange (DSE) to test for a short selling ban on market efficiency. The analysis examines runs in daily stock returns and then forms a distribution of return clusters according to their duration. Using Monte Carlo simulation, we find that runs of longer duration appear more frequently in the DSE data than we would expect in efficient markets. We compare these results to stocks in the Dow Jones Industrial Average (DJIA). We find that the same runs tests accord with market efficiency for liquid and easily shorted DJIA stocks. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

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16 pages, 1861 KiB

Open AccessArticle

Financial Risk Disclosure and Financial Attributes among Publicly Traded Manufacturing Companies: Evidence from Bangladesh

by Ripon Kumar Dey, Syed Zabid Hossain and Zabihollah Rezaee

J. Risk Financial Manag. 2018, 11(3), 50; https://doi.org/10.3390/jrfm11030050 - 20 Aug 2018

Cited by 21 | Viewed by 8315

Abstract

We explore the relationship between the degree of financial risk disclosure and a firm’s financial attributes. Financial risk disclosure indices (FRDIs) are calculated based on a set of 30 disclosure identifiers through content analysis of the annual reports of 48 manufacturing companies over a six-year period (2010–2015) in Bangladesh. We find no common practice among the companies in disclosing financial risk by integrating a customized financial risk disclosure into their financial reporting process. The results indicate that firm size, financial performance, and auditor type are positively and significantly associated with the level of financial risk disclosure. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

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20 pages, 446 KiB

Open AccessArticle

Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH

by Paul Bui Quang, Tony Klein, Nam H. Nguyen and Thomas Walther

J. Risk Financial Manag. 2018, 11(2), 18; https://doi.org/10.3390/jrfm11020018 - 5 Apr 2018

Cited by 4 | Viewed by 5707

Abstract

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across markets. This indicates that, despite a regional proximity and homogeneity of the markets, index volatilities are driven by different factors. Full article

(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)

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