Interconnectedness and systemic risk measures of Chinese financial institutions

Qi, Ming; Zhang, Jiawei; Xiao, Jing Jian; Wang, Pei; Shi, Danyang; Nnenna, Amuji Bridget

doi:10.1108/k-04-2021-0270

Cited by 5 publications

(4 citation statements)

References 54 publications

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“…Finally, we notice a substantial financial benefit to following the trading rule based on our forecasts for some of our cryptocurrencies. Similarly, [49] found that some cryptocurrencies increased their value significantly during the COVID-19 pandemic.…”

Section: Trading Strategymentioning

confidence: 78%

See 1 more Smart Citation

Cryptocurrency Forecasting: More Evidence of the Meese-Rogoff Puzzle

Magner

Hardy

2022

Mathematics

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This paper tests the random walk hypothesis in the cryptocurrency market. Based on the well-known Meese–Rogoff puzzle, we evaluate whether cryptocurrency returns are predictable or not. For this purpose, we conduct in-sample and out-of-sample analyses to examine the forecasting power of our model built with autoregressive components and lagged returns of Bitcoin, compared with the random walk benchmark. To this end, we considered the 13 major cryptocurrencies between 2018 and 2022. Our results indicate that our models significantly outperform the random walk benchmark. In particular, cryptocurrencies tend to be far more persistent than regular exchange rates, and Bitcoin (BTC) seems to improve the predictive accuracy of our models for some cryptocurrencies. Furthermore, while the predictive performance is time varying, we find predictive ability in different regimes before and during the pandemic crisis. We think that these results are helpful to policymakers and investors because they open a new perspective on cryptocurrency investing strategies and regulations to improve financial stability.

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Section: Trading Strategymentioning

confidence: 78%

“…Related to this, [36] show that BITCOIN spot volatility increased following the launch of BITCOIN futures contracts traded on the Chicago Board of Options Exchange (CBOE) and the Chicago Mercantile Exchange (CME). Similarly, [49] show a dynamic linkage of cryptocurrencies and BITCOIN.…”

Section: Dominance Effect and Cryptocurrency Predictabilitymentioning

confidence: 99%

Cryptocurrency Forecasting: More Evidence of the Meese-Rogoff Puzzle

Magner

Hardy

2022

Mathematics

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“…From the perspective of information processing, commercial banks can use digital technology to establish credit risk assessment models for micro and small enterprises, effectively reducing the cost of risk assessment and improving the efficiency and accuracy of risk review (Qi et al, 2022).…”

Section: The Dampening Effect Of Digital Finance On Commercial Bank R...mentioning

confidence: 99%

Digital Finance and Commercial Banks' Risk

Mansour

2024

International Journal of E-Business Research

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China's digital financial growth has advanced rapidly, and the banking sector, which serves as the core of the real economy, is concerned about its capacity to resist the impacts of digital finance. The paper analyzes the impact of digital financing on commercial banking risk-taking via balance panel data from 2013 to 2022 from 160 Chinese banks. The results prove that the impact of digital finance on commercial banks' risk-taking and finds that firstly, in terms of the overall effect, digital finance has a dampening effect on commercial banks' risk-taking; in terms of the structural effect, the risk-dampening effect of the breadth of coverage is the strongest and the breadth of coverage and the depth of use play a significant role in the dampening of commercial banks' risk-taking.

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“…Bank BUMN berperan besar dalam pergerakan volume transaksi, maka akan memainkan peran yang sangat krusial dalam sistem keuangan [15]. Selain untuk masyarakat, Bank BUMN juga merupakan salah satu sumber utama bagi perusahaan swasta dalam urusan pinjaman untuk menjalankan usahanya seperti di negaranegara China, India, serta di Indonesia [16].…”

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Apakah Teori Agensi Belum Diterapkan Secara maksimal pada Bank BUMN?

Nurmuzakki,

Mulawarman

2024

JRAAM

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Has Agency Theory Not Been Applied Maximally in State-Owned Banks?Purpose: To determine the impact of Capital Adequacy Ratio (CAR), Non-performing Loans (NPL), and Loan to Deposit Ratio (LDR) on Return on Assets (ROA). Method: Using multiple regression analysis in 4 state-owned bank Indonesia at 2004-2022.Results: CAR has no effect on ROA while NPL and LDR have a significant negative effect on ROA. Simultaneously CAR, NPL, LDR have a significant effect on ROA.Novelty: This research support signaling theory but doesn't support the agency theory because state-owned banks management in Indonesia only giving positive signal to investor by nonperforming loan ratio and loan to deposit ratio. Contribution: This research suggest that management need to act more professionally by considering capital adequacy and not only focusing on nonperforming loan and liquidity. Abstrak: Apakah Teori Agensi Belum Diterapkan Secara maksimal Pada Bank BUMN?Tujuan: Untuk mengetahui pengaruh Capital Adequacy Ratio (CAR), Non-performing Loan (NPL), dan Loan to Deposit Ratio (LDR) terhadap Return on Aset (ROA).Metode: Menggunakan analisis regresi berganda dengan 4 Bank BUMN di Indonesia selama 2004-2022.Hasil: CAR tidak berpengaruh terhadap ROA sementara NPL dan LDR memiliki pengaruh negatif yang signifikan terhadap ROA dan secara simultan CAR, NPL, dan LDR berpengaruh terhadap ROA.Kebaruan: Penelitian ini mendukung teori sinyal dan belum dapat mendukung teori agensi karena kecukupan modal bukan menjadi pertimbangan manajemen Bank BUMN karena mereka hanya mempertimbangkan sinyal positif kepada para investor melalui tingkat kredit macet serta likuiditas.Kontribusi: Penelitian ini menyarankan kepada manajemen bank agar lebih bersikap professional dengan mempertimbangkan kecukupan modal dan tidak hanya berfokus pada kredit macet serta likuiditas.

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Interconnectedness and systemic risk measures of Chinese financial institutions

Cited by 5 publications

References 54 publications

Cryptocurrency Forecasting: More Evidence of the Meese-Rogoff Puzzle

Cryptocurrency Forecasting: More Evidence of the Meese-Rogoff Puzzle

Digital Finance and Commercial Banks' Risk

Apakah Teori Agensi Belum Diterapkan Secara maksimal pada Bank BUMN?

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