IDEAS home Printed from https://ideas.repec.org/a/eee/riibaf/v71y2024ics0275531924002691.html
   My bibliography  Save this article

Assessing dynamic co-movement of news based uncertainty indices and distance-to -default of global FinTech firms

Author

Listed:
  • Anwer, Zaheer
  • Khan, Muhammad Arif
  • Hassan, M. Kabir
  • Singh, Manjeet Kaur Harnek

Abstract

Contemporary literature does not offer evidence on the causal relationship of default risk and investor sentiments for FinTech sector. We bridge this gap by assessing the dynamic co-movement between Distance-to-Default of leading global FinTech firms and three uncertainty indices namely Twitter Market Uncertainty Index-ENG, Twitter Economic Uncertainty Index-ENG, and US daily news-based Economic Policy. The sample period is from 07 April 2016–30 June 2021. The estimations are performed using Wavelet based analytical framework. The results reveal high dynamic co-movement of Twitter based uncertainty indices with Distance-to-Default of FinTech firms. However, there is very little co-movement between economic policy uncertainty and FinTech firms’ stability. The novelty of this work lies in the utilization of National University of Singapore’s Distance-to-Default measure, which is available in daily frequency and capable of performing dynamic data analysis. Our results offer maiden evidence of linkage of default risk and news based uncertainty indices.

Suggested Citation

  • Anwer, Zaheer & Khan, Muhammad Arif & Hassan, M. Kabir & Singh, Manjeet Kaur Harnek, 2024. "Assessing dynamic co-movement of news based uncertainty indices and distance-to -default of global FinTech firms," Research in International Business and Finance, Elsevier, vol. 71(C).
    • Handle: RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002691
    DOI: 10.1016/j.ribaf.2024.102476
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0275531924002691
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ribaf.2024.102476?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Distance-to-default; Fintech; Wavelet; Twitter market uncertainty index; Twitter Economic Uncertainty Index; Economic Policy Uncertainty Index;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002691. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ribaf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.