International Journal of Accounting, Business and Finance
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Navigating APEC Countries: TVP-VAR Insights into Developed and Emerging Stock Markets
Full text linkThe interdependence of stock markets provides important discernment into the behavior of the larger international financial markets. This study investigates magnitude and directional volatility spillover patterns among developed and emerging countries within the APEC bloc, utilizing the TVP-VAR model. The findings indicate that Russia (15.06%), Vietnam11.64%), and Thailand (11.57%) are identified as major transmitters, and Malaysia (-28.95%), Philippines (-9.28%), China (-9.53%) are major receptor of the volatility spillovers in APEC emerging countries. In APEC-developed countries, the United States (56.85%) and Canada (42.6%) are major transmitters, and Japan (-34.02%) and Australia (-53.54%) are identified as a major receptor of the spillover. Moreover, COVID-19 was the most significant crisis, with the highest volatility spillover identified in the APEC bloc\u27s developed and emerging economies. The discoveries have substantial ramifications, offering valuable insights into optimal investment strategies by identifying patterns, magnitudes, and directions of economic volatility shocks
A Compilation of Relationships between Climate Change and Finance
Full text linkClimate change is not a short-term process. It is a consequence of prolonged environmental damage by human beings. Results of climate change have been seen as the rise in the global average temperature, consequently raising the sea level, melting the glaciers, raising the degree of heat waves, droughts, and changes in the timing of monsoons, further impacting agriculture and ultimately impacting human lives and the whole ecological system. However, nowadays, researchers and investors are more concerned about the impact of climate change on the financial markets because it has been seen that climate change may impact them. In this paper, we adopted a bibliometric analysis approach. We used the analysis provided by Scopus based on the input keywords. Initially, we used three words: \u27Environment,\u27 \u27Climate,\u27 and \u27Stock Market.\u27 After further filtration of keywords, we limited the analysis to journal articles from 2013 to 2023 and obtained 510 documents. We found an upward trend in the number of publications. Further, authors from developed countries dominate this field. Our aim in compiling the essential papers that link the finance field to climate change is to provide a comprehensive view of the domain. This comprehensive view will help researchers, regulators, and investors to understand this emerging and crucial phenomenon
The Impact of the COVID-19 Pandemic on metal, mining, and allied sectors in the Indian Stock Market
Full text linkThe paper investigates the effect of the first and second waves of COVID-19 on metal, mining, and its associated sectors stocks in India. Furthermore, the paper explores how the share price of the Indian metal, mining, and allied sectors is impacted and how it differs from the rest of the market. We also compare the effect of the pandemic waves on share prices related to metal, mining, and associated sectors in India during the study period, which ranges from January 2020 to December 2021. The share prices are collected from CMIE prowess for the sample firms. We use event study methodology to explore the impact of the different waves on the above-mentioned sectors. The finding exhibits that the first wave of the pandemic was more extreme in terms of the adverse price reaction than the second wave of the pandemic in the short term in the first five days. In the first wave, a more negative impact was on the Nifty50 index than the metal index. The firms in the metal and allied sectors experienced more negative price reactions than the metal index on the announcement of the lockdown event in the first wave. In the second wave, the impact was less than experienced by the firms in the first wave. We present the comparative empirical findings in daily and period-wise frequency to understand the effect of the 1st and 2nd waves of the pandemic on metal, mining, and its associated sectors in India. Our paper will contribute to the literature on extreme events and assist different stakeholders
The informational variables impact on firm’s liquidity in the French market
Full text linkThis paper investigates the informational variables impact on stock liquidity in the French market. We use two types of informational variables: Google search volume from Google Trends database as a proxy of information demand and news headlines for each stock as a proxy for information supply. Concerning the liquidity proxies, we use these measures: the quoted spread, the turnover price impact and the Amihud illiquidity ratio. The results indicate that information variables have an influence on stock liquidity
Information Entropy Theory and Asset Valuation: A Literature Survey
Full text linkThe purpose of this study is to review the empirical work applied to market efficiency, portfolio selection and asset valuation, focusing on the presentation of the comprehensive theoretical framework of Information Entropy Theory (IET). In addition, we examine how entropy addresses the shortcomings of traditional models for valuing financial assets, including the market efficiency hypothesis, the capital asset pricing model (CAPM), and the Black and Scholes option pricing model. We thoroughly reviewed the literature from 1948 to 2022 to achieve our objectives, including well-known asset pricing models and prominent research on information entropy theory. Our results show that portfolio managers are particularly attracted to valuations and strive to achieve maximum returns with minimal risk. The entropy-based portfolio selection model outperforms the standard model when return distributions are non-Gaussian, providing more comprehensive information about asset and distribution probabilities while emphasising the diversification principle. This distribution is then linked to the entropic interpretation of the no-arbitrage principle, especially when extreme fluctuations are considered, making it preferable to the Gaussian distribution for asset valuation. This study draws important conclusions from its extensive analysis. First, entropy better captures diversification effects than variance, as entropy measures diversification effects more generically than variance. Second, mutual information and conditional entropy provide reasonable estimates of systematic and specific risk in the linear equilibrium model. Third, entropy can be used to model non-linear dependencies in stock return time series, outperforming beta in predictability. Finally, information entropy theory is strengthened by empirical validation and alignment with financial views. Our findings enhance the understanding of market efficiency, portfolio selection and asset pricing for investors and decision-makers. Using Information Entropy Theory as a theoretical framework, this study sheds new light on its effectiveness in resolving some of the limitations in traditional asset valuation models, generating valuable insights into the theoretical framework of the theory
Impact of Country-level Environmental, Social and Governance Pillars on Sustainable Development Goals: Evidence from G20 Countries
Full text linkDue to current economic ambiguities, achieving Sustainable Development Goals (SDGs) has become increasingly significant. This study investigates how environmental, social, and governance (ESG) indicators impact SDG achievements in G20 countries. The study uses renewable energy consumption as the environmental pillar, primary education as the social pillar, and governance effectiveness as the governance pillar. Control variables include gross domestic product and foreign direct investments. The random effect estimation was applied to 16 G20 countries spanning from 2000 to 2020, and the findings revealed a significant negative impact of renewable energy consumption on SDG scores. Similarly, a significant negative impact of primary education on SDG scores and a significant positive impact of governance effectiveness on SDG scores. We also employed Panel-Corrected Standard Errors (PCSE) and Cross-Sectional Time-Series FGLS Regression to check the robustness of the results. The study offers valuable insights for policymakers and regulators focused on SDG achievement
Sustainability and Finance in Developing Nations: Current State and Future Directions
Full text linkUsing the bibliometric analysis on a corpus of 492 Scopus-indexed documents, this study comprehensively analyses the literature on sustainable finance, revealing significant growth from one article in 1991 to 53 in 2024, with 2023 being the peak publication year. The highest citations occurred in 2020, totaling 1,531. Saini, N. and Singhania, M. are among the most productive authors, while Rehman, M.A. leads in citations. Garcia A.S. ranks first among the most cited authors. The Journal of Cleaner Production is the most productive and cited journal. Universitas Indonesia and Kwame Nkrumah University Malaysia are the top productive institutions. Keyword analysis highlights "Sustainable Development" as a central theme, with emerging markets prominently featured. Gracia A.S. leads collaborative research activities, indicating strong interdisciplinary cooperation in sustainable finance
Exploring Multidimensional Perspectives on Finance, Sustainability, and Risk Management
Full text linkWith the extended support of the editorial board members, authors, reviewers, section editors, technical editors, and production editor, we hereby publish the December 2023 issue of the International Journal of Accounting, Business and Finance (IJABF). The IJABF Volume 3 Issue 1 contains five articles exploring thought-provoking contributions exploring finance, sustainability, and global challenges. I thank all the contributors to this issue
Do ESG Initiatives Improve the Performance of Saudi-listed Banks? The Moderating Effect of Bank Size
Full text linkThis study investigates the influence of bank size on the connection between ESG (Environmental, Social, Governance) initiatives and banks\u27 financial performance in Saudi Arabia. Using data from 10 Saudi Arabian banks spanning 2014 to 2023, we analyze the influence of ESG initiatives by considering various indicators. Specifically, we used social responsibility (SR) initiatives to measure social aspects, environmental initiatives to measure the environmental aspect, and governance mechanisms to measure the governance aspect. Our observations indicate that environmental initiatives, social responsibility initiatives, and gender diversity have notable adverse effects on the return on assets (ROA). Additionally, social initiatives, board gender diversity, board independence, and audit committee activities have a negative impact on return on equity (ROE), whereas the number of board members had a positive impact on ROE. Bank size negatively moderates the relationship between board gender diversity and financial performance and positively moderates the relationship between audit members and ROA. These findings indicate that the impact of ESG initiatives on financial performance may depend on bank size
Navigating Biodiversity and Climate Risk: A Systematic Review and Research Agenda
Full text linkThis study employs bibliometric analysis on a corpus of 162 Scopus-indexed documents, offering a comprehensive examination of the literature on biodiversity and climate risk. The analysis reveals significant growth in publications from 2006 to 2024, with a notable peak in 2023. The highest citation count was recorded in 2020, with 1,231 citations. Irene Monasterolo and Ulrich Volz are among the most productive authors. Ulrich Volz ranks first among the most cited authors. The Journal of Sustainable Finance and Investment stands out as the most productive and Ecological Economics Journal is most cited journal. German Development Institute, Germany and Vienna University of Economics and Business, Austria are the top productive institutions. Keyword analysis highlights Sustainable Finance, Climate Change, and Climate Risk as a central theme, with emerging markets prominently featured. Christopher P.O. Reyer, Ulrich Volz, and Irene Monasterolo leads collaborative research activities, indicating strong interrelation in Biodiversity and Climate Risk