【CFRI 特刊 新冠病毒与金融市场稳定性研究】

【Special Issue: COVID19 and Financial Market Stability】

随着新型冠状病毒的爆发，世界面临着全球公共卫生危机。世界各国政府迅速采取了相应的货币政策和财政刺激措施，以减轻对健康和经济的不利影响。宽松的货币政策在资本市场产生了大量流动性，而流动性的增加伴随着波动性的增加。企业应如何在金融动荡中加强其风险管理能力？政府政策如何支持中小企业？本期特刊发表了多篇学术研究论文，阐明了这一流行病对世界各地金融市场、企业和政府部门的影响以及对危机的政策反应。

这期专刊有六篇高质量论文。

扫描文中二维码可免费下载本期文章，感谢您对CFRI的关注和支持！

1

Government support for SMEs in response to COVID-19: theoretical model using Wang transform

Authors

Shaun Shuxun Wang 

Southern University of Science and Technology, Shenzhen, China,and,

Jing Rong Goh 

Risk Lighthouse International Pte Ltd, Singapore, Singapore,and,

Didier Sornette

ETH-Zurich, Zurich, Switzerland,and,

He Wang 

Southern University of Science and Technology, Shenzhen, China,and,

Esther Ying Yang 

Risk Lighthouse LLC, New York, New York, USA

Abstract

Purpose

Many governments are taking measures in support of small and medium-sized enterprises (SMEs) to mitigate the economic impact of the COVID-19 outbreak. This paper presents a theoretical model for evaluating various government measures, including insurance for bank loans, interest rate subsidy, bridge loans and relief of tax burdens.

Design/methodology/approach

This paper distinguishes a firm's intrinsic value and book value, where a firm can lose its intrinsic value when it encounters cash-flow crunch. Wang transform is applied to (1) calculating the appropriate level of interest rate subsidy payable to incentivize banks to issue more loans to SMEs and to extend the loan maturity of current debt to the SMEs, (2) describing the frailty distribution for SMEs and (3) defining banks' underwriting capability and overlap index in risk selection.

Findings

Government support for SMEs can be in the form of an appropriate level of interest rate subsidy payable to incentivize banks to issue more loans to SMEs and to extend the loan maturity of current debt to the SMEs.

Research limitations/implications

More available data on bank loans would have helped strengthen the empirical studies.

Practical implications

This paper makes policy recommendations of establishing policy-oriented banks or investment funds dedicated to supporting SMEs, developing risk indices for SMEs to facilitate refined risk underwriting, providing SMEs with long-term tax relief and early-stage equity-type investments.

Social implications

The model highlights the importance of providing bridge loans to SMEs during the COVID-19 disruption to prevent massive business closures.

Originality/value

This paper provides an analytical framework using Wang transform for analyzing the most effective form of government support for SMEs.

Keywords 

COVID-19, SME, Bank loan, Government subsidy, Wang transform

Citation

Wang, S.S., Goh, J.R., Sornette, D., Wang, H. and Yang, E.Y. (2021), "Government support for SMEs in response to COVID-19: theoretical model using Wang transform", China Finance Review International, Vol. 11 No. 3, pp. 406-433. https://doi.org/10.1108/CFRI-05-2021-0088

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2

How can an economic scenario generation model cope with abrupt changes in financial markets?

Authors

Yi-Hsi Lee

Department of Financial Engineering and Actuarial Mathematics, Soochow University, Taipei, Taiwan,and,

Ming-Hua Hsieh 

Department of Risk Management and Insurance, National Chengchi University, Taipei, Taiwan,and,

Weiyu Kuo 

Department of International Business, National Chengchi University, Taipei, Taiwan,and,

Chenghsien Jason Tsai 

Department of Risk Management and Insurance, National Chengchi University, Taipei, Taiwan

Abstract

Purpose

It is quite possible that financial institutions including life insurance companies would encounter turbulent situations such as the COVID-19 pandemic before policies mature. Constructing models that can generate scenarios for major assets to cover abrupt changes in financial markets is thus essential for the financial institution's risk management.

Design/methodology/approach

The key issues in such modeling include how to manage the large number of risk factors involved, how to model the dynamics of chosen or derived factors and how to incorporate relations among these factors. The authors propose the orthogonal ARMA–GARCH (autoregressive moving-average–generalized autoregressive conditional heteroskedasticity) approach to tackle these issues. The constructed economic scenario generation (ESG) models pass the backtests covering the period from the beginning of 2018 to the end of May 2020, which includes the turbulent situations caused by COVID-19.

Findings

The backtesting covering the turbulent period of COVID-19, along with fan charts and comparisons on simulated and historical statistics, validates our approach.

Originality/value

This paper is the first one that attempts to generate complex long-term economic scenarios for a large-scale portfolio from its large dimensional covariance matrix estimated by the orthogonal ARMA–GARCH model

Keywords 

Risk management, Life insurance, Economic scenario generation

Citation

Lee, Y.-H., Hsieh, M.-H., Kuo, W. and Tsai, C.J. (2021), "How can an economic scenario generation model cope with abrupt changes in financial markets?", China Finance Review International, Vol. 11 No. 3, pp. 372-405. https://doi.org/10.1108/CFRI-03-2021-0056

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3

The COVID-19 pandemic and sovereign credit risk

Author

Wei-Fong Pan 

University of Reading, Reading, UK,and,

Xinjie Wang 

Southern University of Science and Technology, Shenzhen, China,and,

Ge Wu 

University of Richmond, Richmond, Virginia, USA,and,

Weike Xu 

Clemson University, Clemson, South Carolina, USA

Abstract

Purpose

The purpose of this study is to examine the effects of the coronavirus disease 2019 (COVID-19) pandemic on sovereign credit default swap (CDS) spreads using a large sample of countries.

Design/methodology/approach

In this paper, the authors use a wide set of the sovereign CDS data of 78 countries. To measure the magnitude of the COVID-19 pandemic, the authors use the daily change of confirmed cases collected from Our World in Data. They use panel regressions to estimate the impact of the COVID-19 pandemic on sovereign credit risk.

Findings

The authors show how sovereign CDS spreads have widened significantly in response to the COVID-19 pandemic. Based on the most conservative estimate, a 1% increase in COVID-19 infections leads to a 0.17% increase in sovereign CDS spreads. Furthermore, this effect is stronger for developing countries and countries with worse healthcare systems. Government policies partially offset the impact of the COVID-19 pandemic, although these same policies also lead to widening sovereign CDS spreads. Sovereign CDS spreads narrow dramatically several months after the outbreak of the COVID-19 pandemic. Overall, the results suggest that the ongoing COVID-19 pandemic has been a massive shock to the global financial stability.

Originality/value

This paper provides new evidence that COVID-19 widens sovereign CDS spreads. The authors further show that this widening effect is felt most strongly in developing economies.

Keywords 

Crisis, Economic uncertainty, COVID-19, Pandemic, Sovereign CDS spread

Citation

Pan, W.-F., Wang, X., Wu, G. and Xu, W. (2021), "The COVID-19 pandemic and sovereign credit risk", China Finance Review International, Vol. 11 No. 3, pp. 287-301. https://doi.org/10.1108/CFRI-01-2021-0010

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4

Epidemics and Chinese firms' stock returns: is COVID-19 different?

Authors

Quang Thi Thieu Nguyen

Faculty of Banking, University of Economics, The University of Danang, Danang, Vietnam,and,

Dao Le Trang Anh 

School of Banking and Finance, National Economics University, Hanoi, Vietnam, Lincoln University, Christchurch, New Zealand,and,

Christopher Gan 

Lincoln University, Christchurch, New Zealand

Abstract

Purpose

This study investigates the Chinese stocks' returns during different epidemic periods to assess their effects on firms' market performance.

Design/methodology/approach

The study employs an event study method on more than 3,000 firms listed on Shanghai and Shenzhen stock exchanges during periods of SARS, H5N1, H7N9 and COVID-19

Findings

Epidemics' effect on firms' stock returns is persistent up to 10 days after the event dates. Although the impact varies with types and development of the disease, most firms experience a negative impact of the epidemics. Among the epidemics, COVID-19 has the greatest impact, especially when it grows into a pandemic. The epidemics' impact is uneven across industries. In addition, B-shares and stocks listed on Shanghai Stock Exchange are more negatively influenced by the epidemic than A-shares and those listed on Shenzhen Stock Exchange.

Research limitations/implications

The results of the study contribute to the limited literature on the effects of disease outbreaks as an economic shock on firm market performance. Given the possibility of other epidemics in the future, the study provides guidance for investors in designing an appropriate investing strategy to cope with the epidemic shocks to the market.

Originality/value

The research is novel in the way it compares and assesses the economic impact of different epidemics on firms and considers their impact at different development stages.

Keywords 

COVID-19, China, Epidemics, Event study, Stock returns

Citation

Nguyen, Q.T.T., Anh, D.L.T. and Gan, C. (2021), "Epidemics and Chinese firms' stock returns: is COVID-19 different?", China Finance Review International, Vol. 11 No. 3, pp. 302-321. https://doi.org/10.1108/CFRI-03-2021-0053

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5

Impact of COVID‐19 pandemic on risk transmission between googling investor’s sentiment, the Chinese stock and bond markets

Authors

Taicir Mezghani 

Faculty of Economics and Management of Sfax, University of Sfax, Sfax, Tunisia,and,

Mouna Boujelbène 

Faculty of Economics and Management of Sfax, Sfax, Tunisia,and,

Mariam Elbayar 

Faculty of Economics and Management of Sfax, Sfax, Tunisia

Abstract

Purpose

The main objective of this paper is to investigate whether the investors' behavior under optimistic (pessimistic) conditions has an impact on risk transmission between the Chinese stock and bond markets and the sector indices mainly during the COVID-19 pandemic.

Design/methodology/approach

This study uses a new measure of the investor's sentiment based on Google trend to construct a Chinese investor's sentiment index and a quantile causal approach to examine the causal relationship between googling investor's sentiment and the Chinese stock and bond markets as well as the sector indices. On the other hand, the network connectedness is used to estimate the spillover effect on the investor's sentiment and index returns. To check the robustness of the study results, the authors employed the Chinese VIX, as another measure of the investor's sentiment using daily data from May 2019 to December 2020.

Findings

In fact, the authors found a dual causality between the investor's sentiment and the financial market indices in optimistic or pessimistic situations, which indicates that positive and negative financial market returns may have an effect on the Chinese investor's sentiment. In addition, the results indicated that a pessimistic investor's sentiment has a negative impact on the banking, healthcare and utility sectors. In fact, the study results provide a significant peak of connectivity between the investor's sentiment, the stock market and the sector indices during the 2015–2016 and 2019–2020 turmoil periods that coincide respectively with the 2015 recession of the Chinese economy and the COVID-19 pandemic.

Originality/value

This finding suggests that the Chinese googling investor's sentiment is considered as a prominent channel of shock spillovers during the coronavirus crisis, which confirms the behavioral contagion. This study also identifies the contribution of a particular interest for portfolio managers and investors, which helps them to accordingly design their portfolio strategy.

Keywords 

COVID-19, China stock-bond markets, Investor’s sentiment, Google trends, Spillover index approach and quantile causal approach

Citation

Mezghani, T., Boujelbène, M. and Elbayar, M. (2021), "Impact of COVID‐19 pandemic on risk transmission between googling investor’s sentiment, the Chinese stock and bond markets", China Finance Review International, Vol. 11 No. 3, pp. 322-348. https://doi.org/10.1108/CFRI-08-2020-0120

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6

Ex-ante risk management and financial stability during the COVID-19 pandemic: a study of Vietnamese firms

Author

Lan Thi Mai Nguyen

Hanoi School of Business and Management, Vietnam National University, Hanoi, Vietnam,and,

Phi Hoang Dinh 

Hanoi School of Business and Management, Vietnam National University, Hanoi, Vietnam

Abstract

Purpose

The authors investigate whether firms can ensure their financial stability during the coronavirus disease 2019 (COVID-19) pandemic by having ex-ante risk management.

Design/methodology/approach

The authors study 279 Vietnamese listed firms by investigating their disclosure of risk awareness and risk management tool(s) in the 2019 annual reports. The authors then examine whether prior risk awareness and adoption of risk management tool(s) can enhance the firms' financial ratios during the COVID-19 pandemic.

Findings

The authors find that firms that disclose their risk management tool(s) in the 2019 annual reports have better asset utilization and higher liquidity during the COVID-19 pandemic than the others. However, firms that simply express their risk awareness exert no stronger financial stability. In addition, the authors document that debt management is the most popular and most effective tool to ensure firms' financial stability during the crisis.

Originality/value

The study highlights the need for ex-ante risk management for future pandemics. The authors also suggest that stakeholders can rely on the degree of risk management tool utilization to evaluate the financial stability of firms.

Keywords 

COVID-19 pandemic, Crisis, Economic shock, Financial stability, Risk awareness, Risk management tools

Citation

Nguyen, L.T.M. and Hoang Dinh, P. (2021), "Ex-ante risk management and financial stability during the COVID-19 pandemic: a study of Vietnamese firms", China Finance Review International, Vol. 11 No. 3, pp. 349-371. https://doi.org/10.1108/CFRI-12-2020-0177

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CFRI客座主编介绍

王树勋

王树勋 （Shaun Shuxun Wang），现为南方科技大学商学院金融系讲席教授、系主任。他曾任加拿大滑铁卢大学助理教授，美国乔治亚州立大学鲁滨逊商学院Thomas P. Bowles讲席教授、新加坡南洋理工大学保险与金融研究中心主任、瑞士日内瓦协会常务副秘书长。他拥有北美高级精算师（FCAS）职称、北京大学数学学士和硕士、加拿大滑铁卢大学统计博士。王树勋的研究兴趣包括金融风险量化评估、中小科技企业融资、信息安全、气候变化和巨灾保险。他发表在国际期刊上的论文被引量超过5500次。以他的姓氏命名的“王氏变换”公式被广泛应用于巨灾险、信用风险和天气衍生类产品的定价模型。

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谢明华（Ming-Hua Hsieh），现为台湾国立政治大学风险管理与保险学系教授，美国斯坦福大学博士，研究专长包括金融科技（人工智能与区块链）、保险监理、风险管理、衍生性金融商品、蒙地卡罗模拟等。

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《中国金融评论》介绍

Background

The China Finance Review International is founded by Antai College of Economics and Management at Shanghai Jiao Tong University, one of the top universities in Asia. The journal publishes quality empirical and theoretical research on financial and economic issues.

The China Financial Review International aims to promote discussions and publish works on important finance and economic issues in the world. We encourage ground-breaking research related to new and niche areas in finance, such as Fintech and socially responsible investments. Critical thinking is a key area the journal emphasizes. We welcome critiques of existing literature and comparative analysis between emerging markets and developed economies.  

Aims and Scope

The journal acts as a medium between China's finance scholars and international financial economists to share their views and investigate a wide range of issues including:

• Asset pricing

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• Derivatives

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• Financial econometrics

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• Macro finance

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