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15 pages, 1568 KiB

Open AccessArticle

Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks

by Zhuhua Jiang, Walid Mensi and Seong-Min Yoon

Sustainability 2023, 15(3), 2193; https://doi.org/10.3390/su15032193 - 24 Jan 2023

Cited by 3 | Viewed by 1609

Abstract

This study estimates the effects of the dual long memory property and structural breaks on the persistence level of six major cryptocurrency markets. We apply the Bai and Perron structural break test, Inclán and Tiao’s iterated cumulative sum of squares (ICSS) algorithm, and [...] Read more.

This study estimates the effects of the dual long memory property and structural breaks on the persistence level of six major cryptocurrency markets. We apply the Bai and Perron structural break test, Inclán and Tiao’s iterated cumulative sum of squares (ICSS) algorithm, and the fractionally integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model, with different distributions. The results show that long memory and structural breaks characterize the conditional volatility of cryptocurrency markets, confirming our hypothesis that ignoring structural breaks leads to an underestimation of the persistence of volatility modeling. The ARFIMA-FIGARCH model, with structural breaks and a skewed Student

- t

distribution, fits the cryptocurrency market’s price dynamics well. Full article

(This article belongs to the Special Issue The Future and Sustainability of Financial Markets)

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16 pages, 1390 KiB

Open AccessArticle

Nonlinear Influence of Financial Technology on Regional Innovation Capability: Based on the Threshold Effect Analysis of Human Capital

by Wei Han, Ping Wang, Yushi Jiang and Hao Han

Sustainability 2022, 14(2), 1007; https://doi.org/10.3390/su14021007 - 17 Jan 2022

Cited by 5 | Viewed by 2099

Abstract

According to the data of financial technology and high-tech innovation level of 17 cities in the pilot area of China Independent Innovation Demonstration Zone (Shandong Province) from 2007 to 2017, and taking human capital as the threshold variable, this paper empirically analyzes the [...] Read more.

According to the data of financial technology and high-tech innovation level of 17 cities in the pilot area of China Independent Innovation Demonstration Zone (Shandong Province) from 2007 to 2017, and taking human capital as the threshold variable, this paper empirically analyzes the nonlinear influence of financial technology development on regional innovation capability under different absorptive capacity by constructing a panel threshold regression model. The results show that: (1) Taking human capital endowment as the threshold variable, the influence mechanism of financial technology development on regional innovation capability has an inverted S-shaped double threshold effect, that is, the driving effect of financial technology development on regional innovation capability has the “optimal range” of human capital absorption capability; (2) When the endowment of human capital is less than the first threshold, there is a significant negative relationship between financial technology and regional innovation capability, and in this case, financial technology development cannot promote the improvement of regional innovation capability; (3) When the human capital endowment crosses the first threshold, there is a significant positive relationship between the development of financial science and technology and the regional innovation capability, which indicates that only when the human capital endowment can better realize R&D learning, digestion and absorption can the development of financial science and technology achieve collaborative innovation and enhance the regional innovation capability; (4) After the endowment of human capital crosses the second threshold, although there is still a positive relationship between the development of financial technology and regional innovation capability, the driving effect of financial technology has a diminishing marginal effect, which shows that the scale of technology and finance should match with human capital, and unlimited expansion of human capital investment will also lead to the imbalance of the allocation of innovation elements and reduce the efficiency of regional innovation. Based on the empirical analysis results, the paper finally puts forward policy suggestions from the aspects of differentiated development strategy, innovative talent incentive policy, and the construction of financial technology leading center. Full article

(This article belongs to the Special Issue The Future and Sustainability of Financial Markets)

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16 pages, 2652 KiB

Open AccessArticle

Non-Traditional Systemic Risk Contagion within the Chinese Banking Industry

by Tonmoy Choudhury, Simone Scagnelli, Jaime Yong and Zhaoyong Zhang

Sustainability 2021, 13(14), 7954; https://doi.org/10.3390/su13147954 - 16 Jul 2021

Cited by 9 | Viewed by 2259

Abstract

Systemic risk contagion is a key issue in the banking sector in maintaining financial system stability. This study is among the first few to use three different distance-to-risk measures to empirically assess the domestic interbank linkages and systemic contagion risk of the Chinese [...] Read more.

Systemic risk contagion is a key issue in the banking sector in maintaining financial system stability. This study is among the first few to use three different distance-to-risk measures to empirically assess the domestic interbank linkages and systemic contagion risk of the Chinese banking industry, by using bivariate dynamic conditional correlation GARCH model on data collected from eight prominent Chinese banks for the period 2006–2018. The results show a relatively high correlation among almost all the banks, suggesting an interconnectedness among the banks. We found evidence that the banking system is exposed to significant domestic contagion risks arising from systemic defaults. Given that Chinese markets deliver weak signals of forthcoming stress in banking sectors, new policy intervention is crucial to resolve the hidden stress in the system. The results have important policy implications and will provide scholars and policymakers further insight into the risk contagion originating from interbank networks. Full article

(This article belongs to the Special Issue The Future and Sustainability of Financial Markets)

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10 pages, 710 KiB

Open AccessArticle

Incentive Contracts for Sustainable Growth of Small or Medium-Sized Enterprise

by Daehyeon Park, Jinhyeong Jo and Doojin Ryu

Sustainability 2021, 13(9), 4964; https://doi.org/10.3390/su13094964 - 28 Apr 2021

Cited by 3 | Viewed by 2309

Abstract

This study analyzes incentive contracts in public procurement supply chains using a game-theoretic approach. Specifically, we compare a structure in which the host company is a large enterprise and the partner company is a small or medium-sized enterprise (SME) to a structure in [...] Read more.

This study analyzes incentive contracts in public procurement supply chains using a game-theoretic approach. Specifically, we compare a structure in which the host company is a large enterprise and the partner company is a small or medium-sized enterprise (SME) to a structure in which the host is an SME and the partner is a large enterprise. For each structure, we examine whether an incentive contract improves supply chain performance and confirm that the performance improvement effect is greater when the host company is an SME. Our analysis has several policy implications. SMEs are less likely to be selected as host companies for large-scale procurement projects, limiting their growth opportunities. Thus, to enable SMEs’ sustainable growth through large-scale procurement projects, the governments can allocate a portion of public procurement to SMEs. The introduction of incentive contracts elicits sustainable cooperation from large companies when an SME is the host company in a public procurement supply chain. Full article

(This article belongs to the Special Issue The Future and Sustainability of Financial Markets)

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25 pages, 346 KiB

Open AccessArticle

Do Cross-Listed Firms Have a Better Governance Structure and Lower Agency Costs? Evidence from Chinese Firms

by Dong-Soon Kim, Eunjung Yeo and Li Zhang

Sustainability 2021, 13(4), 1734; https://doi.org/10.3390/su13041734 - 5 Feb 2021

Cited by 2 | Viewed by 2501

Abstract

This study examines whether an influence from a difference in corporate governance structure exists on firms’ agency costs between Chinese companies cross-listed on the Hong Kong Stock Exchange (HKSE) and those that are domestically listed ones. We determine that, overall, companies with an [...] Read more.

This study examines whether an influence from a difference in corporate governance structure exists on firms’ agency costs between Chinese companies cross-listed on the Hong Kong Stock Exchange (HKSE) and those that are domestically listed ones. We determine that, overall, companies with an HKSE cross-listing had better corporate governance than those without. The corporate governance advantage of the HKSE cross-listed firms holds if we control for firm fixed effects and resolve the potential endogeneity problem between corporate governance and agency costs by using two-stage least square (2SLS) regression analysis with instrumental variables. Specifically, the HKSE cross-listed firms had better corporate governance in terms of board size and institutional ownership. By contrast, domestically listed firms experienced the adverse effects of institutional owner’s roles and higher board pay. The advantages of HKSE cross-listed firms may stem from the benefits of having a larger board size and the effective monitoring of the management by the institutional stockholders. Implications are drawn for the debate on cross-listing and the future challenges of Chinese firms, and a more robust monitoring is necessary for sustainable finance of their stock markets. Full article

(This article belongs to the Special Issue The Future and Sustainability of Financial Markets)

16 pages, 1546 KiB

Open AccessArticle

Asymmetric Dependence between Oil Prices and Maritime Freight Rates: A Time-Varying Copula Approach

by Ki-Hong Choi and Seong-Min Yoon

Sustainability 2020, 12(24), 10687; https://doi.org/10.3390/su122410687 - 21 Dec 2020

Cited by 11 | Viewed by 3989

Abstract

Changes in crude oil price affect the shipping freight market via three different channels. This study explores the dependence structure between oil prices and maritime freight rates to identify the effective channel. Therefore, it investigates the relationship between oil prices and three major [...] Read more.

Changes in crude oil price affect the shipping freight market via three different channels. This study explores the dependence structure between oil prices and maritime freight rates to identify the effective channel. Therefore, it investigates the relationship between oil prices and three major maritime freight rates; the Baltic Dry Index (BDI), the Baltic Dirty Tanker Index (BDTI), and the Baltic Clean Tanker Index (BCTI). We employ the decomposition method, not studied in the existing literature, and the copula approach which can identify the time-varying effects and asymmetry in the tail dependence structure between oil prices and freight rates. The main results of this analysis are as follows: the decomposed components display different conditional dependence patterns, and asymmetry is revealed in the upper and lower tail dependence. In the long-run, we find more dependence in extreme periods like the financial crises. In short-run fluctuations, we find the dependence increases in an economic boom. The implications of the results suggest that dependence can vary over time and may change depending on extreme events, implying that the complementary strategies should be different the long-run and short-run. Full article

(This article belongs to the Special Issue The Future and Sustainability of Financial Markets)

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12 pages, 592 KiB

Open AccessArticle

The Perception and Knowledge of Financial Risk of the Portuguese

by Fernando Tavares, Eulália Santos, Vasco Tavares and Vanessa Ratten

Sustainability 2020, 12(19), 8255; https://doi.org/10.3390/su12198255 - 7 Oct 2020

Cited by 8 | Viewed by 3006

Abstract

This study will help academics, researchers, and professionals to better understand how the Portuguese population perceives financial risk. Thus, the main objective of this study is to analyse and compare the perception and knowledge of financial risk by the Portuguese. The methodology used [...] Read more.

This study will help academics, researchers, and professionals to better understand how the Portuguese population perceives financial risk. Thus, the main objective of this study is to analyse and compare the perception and knowledge of financial risk by the Portuguese. The methodology used is quantitative, and the measurement instrument consists of three parts: financial risk perception, financial risk knowledge and sociodemographic characterization of the participants. The sample is composed of 830 Portuguese individuals, over 18 years old. The results demonstrate that financial risk perception is a one-dimensional measurement and that there are low levels of both perception and knowledge of financial risk. It can also be concluded that the Portuguese individuals have a higher level of financial risk perception, when compared to financial risk knowledge, and it is men who have higher levels of perception and knowledge of financial risk. Thus, this study contributes to the literature on financial risk by presenting empirical evidence and relevant conclusions, and it is therefore expected that it will help to improve the perception and knowledge of the financial risk of the Portuguese and, consequently, their financial decisions and financial well-being. Therefore, the study fills a gap, since there are no studies in Portugal that assess the perception and knowledge of financial risk of the Portuguese. Full article

(This article belongs to the Special Issue The Future and Sustainability of Financial Markets)

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Review

Jump to: Research

11 pages, 246 KiB

Open AccessReview

Corporate Default Predictions Using Machine Learning: Literature Review

by Hyeongjun Kim, Hoon Cho and Doojin Ryu

Sustainability 2020, 12(16), 6325; https://doi.org/10.3390/su12166325 - 6 Aug 2020

Cited by 51 | Viewed by 9081

Abstract

Corporate default predictions play an essential role in each sector of the economy, as highlighted by the global financial crisis and the increase in credit risk. This study reviews the corporate default prediction literature from the perspectives of financial engineering and machine learning. [...] Read more.

Corporate default predictions play an essential role in each sector of the economy, as highlighted by the global financial crisis and the increase in credit risk. This study reviews the corporate default prediction literature from the perspectives of financial engineering and machine learning. We define three generations of statistical models: discriminant analyses, binary response models, and hazard models. In addition, we introduce three representative machine learning methodologies: support vector machines, decision trees, and artificial neural network algorithms. For both the statistical models and machine learning methodologies, we identify the key studies used in corporate default prediction. By comparing these methods with findings from the interdisciplinary literature, our review suggests some new tasks in the field of machine learning for predicting corporate defaults. First, a corporate default prediction model should be a multi-period model in which future outcomes are affected by past decisions. Second, the stock price and the corporate value determined by the stock market are important factors to use in default predictions. Finally, a corporate default prediction model should be able to suggest the cause of default. Full article

(This article belongs to the Special Issue The Future and Sustainability of Financial Markets)

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