Portuguese Economic Journal, 2020, Volume 19, nº 2
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- Stock exchange mergers : a dynamic correlation analysis on EuronextPublication . Espinosa-Méndez, Christian; Gorigoitía, Juan; Vieito, JoãoThis article investigates the role of Stock Exchange Mergers on stock market return co- movements. Using a dynamic conditional correlation model proposed by Engle (J Bus Econ Stat 20:339–350, 2002), the Euronext Stock Exchange was analyzed, and findings point to an increase in correlation levels of stock return among Euronext unitholders. In short, Euronext stock exchange mergers increased interdependency among these markets, which means that the possibility of diversifying investment risk in these markets is reduced.
- The effect of corporate board attributes on bank stabilityPublication . Karkowska, Renata; Acedański, JanThis study aims to empirically identify how a bank’s board structure (size, indepen- dence, and members’ affiliations) and quality (experience, background, and skills) affect its risk incentives. Specifically, it investigates whether banks’ solvency and corporate governance nexus changed after the 2007–2009 financial crisis. We employ a cross-country sample of 239 commercial and publicly traded banks covering 1997– 2016 and a panel regression for 40 countries. We acknowledge a negative relationship between board size and bank stability and demonstrate that an independent board may have constrained rather than encouraged risk in banks. The global financial crisis has not changed much in the corporate governance and stability of banks nexus. These findings are robust even while controlling for a range of alternative sensitivity estima- tions for bank stability. This result indicates that in the aftermath of the market meltdown, we still need to strengthen corporate governance practices which may mitigate the adverse effects of the crisis on the banking sector.
- Do mutual funds have consistency in their performance?Publication . Rao, Zia-ur-Rehman; Tauni, Muhammad Zubair; Ahsan, Tanveer; Umar, MuhammadUsing a comprehensive data set of 714 Chinese mutual funds from 2004 to 2015, the study investigates these funds’ performance persistence by using the Capital Asset Pricing model, the Fama-French three-factor model and the Carhart Four-factor model. For persistence analysis, we categorize mutual funds into eight octiles based on their one year lagged performance and then observe their performance for the subsequent 12 months. We also apply Cross-Product Ratio technique to assess the performance persistence in these Chinese funds. The study finds no significant evidence of persis- tence in the performance of the mutual funds. Winner (loser) funds do not continue to be winner (loser) funds in the subsequent time period. These findings suggest that future performance of funds cannot be predicted based on their past performance.
- Long-run relationship between exports and imports: current account sustainability tests for the EUPublication . Afonso, António; Huart, Florence; Jalles, João Tovar; Stanek, PiotrWe assess the sustainability of external imbalances for EU countries using panel stationarity tests of Current Account (CA) balance-to-GDP ratios and panel cointegration of exports and imports of goods and services, for the period 1970Q1– 2015Q4. We find that: i) the country panel is non-stationary; ii) cross-sectional dependence plays an important role; iii) there is non-stationarity of the CA, imports, and exports with cross-sectional panel dependence and multiple structural breaks; iv) however, there is a stable long-run relationship between exports and imports in the panel. Hence, trade imbalances can be less unsustainable but this is not sufficient to make current account imbalances sustainable.