International Review of Economics & Finance最新文献

Rare disasters and multilayer spillovers between volatility and skewness in international stock markets over a century of data: The role of geopolitical risk 一个世纪以来国际股市的罕见灾难和波动性与偏度之间的多层溢出效应：地缘政治风险的作用

IF 4.8 2区经济学

International Review of Economics & Finance Pub Date : 2025-05-16 DOI: 10.1016/j.iref.2025.104183

Matteo Foglia , Vasilios Plakandaras , Rangan Gupta , Elie Bouri

{"title":"Rare disasters and multilayer spillovers between volatility and skewness in international stock markets over a century of data: The role of geopolitical risk","authors":"Matteo Foglia , Vasilios Plakandaras , Rangan Gupta , Elie Bouri","doi":"10.1016/j.iref.2025.104183","DOIUrl":"10.1016/j.iref.2025.104183","url":null,"abstract":"<div><div>Measuring risk and understanding risk spillover across markets lie at the core of the decision-making process of every financial market participant and monetary authority. However, the bulk of the literature treats risk as a function of the second moment (volatility) of the return distribution, based on the implicit unrealistic assumption that asset returns are normally distributed. In this paper, we examine risk spillovers involving robust estimates of both second and third moments of model-implied distributions of stock returns using a multilayer approach; then, we assess the ability of geopolitical risk, as a proxy for rare disaster risk, to forecast layer-based risk spillovers using machine-learning methods. Considering a century of data on the stock indices of the G7 and Switzerland from May 1917 to February 2023, the results show the following: Firstly, the risk spillover among stock markets exists within each layer (i.e. volatility and skewness), with a stronger effect in the volatility layer. Secondly, the risk spillover is significant across the two layers, highlighting how various aspects of risk information are transmitted across major stock markets. Thirdly, geopolitical risk affects both risk layer values, based on an out-of-sample forecasting exercise. Specifically, global measures of geopolitical risk can forecast risk spillovers at shorter horizons up to 6 months, whereas, at longer horizons, the forecasting exercise is dominated by market-specific characteristics.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"101 ","pages":"Article 104183"},"PeriodicalIF":4.8,"publicationDate":"2025-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144084533","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Production choice and pricing strategies of automobile manufacturers under carbon policies 碳政策下汽车制造商的生产选择与定价策略

IF 4.8 2区经济学

International Review of Economics & Finance Pub Date : 2025-05-13 DOI: 10.1016/j.iref.2025.104177

Donghua Xiao , Qing Zhang , Haoran Liu , Sheng Luo , Yi Zheng

{"title":"Production choice and pricing strategies of automobile manufacturers under carbon policies","authors":"Donghua Xiao , Qing Zhang , Haoran Liu , Sheng Luo , Yi Zheng","doi":"10.1016/j.iref.2025.104177","DOIUrl":"10.1016/j.iref.2025.104177","url":null,"abstract":"<div><div>The transition of automotive manufacturers to electric power sources can significantly reduce carbon dioxide emissions, foster the green development of the automotive industry, and contribute to the global reduction of carbon emissions. Its development and promotion depend on carbon policies and consumer sensitivity to carbon emissions. Under different carbon emission policy contexts, this study first considers the production and pricing decisions of automobile manufacturers based on consumers' awareness of green consumption, including whether to produce fuel, electric, or hybrid vehicles and the pricing for each type. Second, it explores the impact of various carbon emission policies on these decisions and profits and compares carbon emissions under different policies. Results indicate that under varying carbon policies, automobile manufacturers' production decisions primarily depend on the ratio of carbon emissions to production costs. In addition, consumers' sensitivity to carbon emissions influences their choice of production types and significantly affects manufacturers' profits. Manufacturers’ profits are influenced by market share and carbon policy parameters. The emission reduction effect is most significant under the carbon cap policy, whereas cap-and-trade shows the least reduction effect. The research conclusions can assist traditional vehicle manufacturers in transitioning to new energy sources and achieving high-quality sustainable development.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"101 ","pages":"Article 104177"},"PeriodicalIF":4.8,"publicationDate":"2025-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144084598","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Forecasting realised volatility using regime-switching models 使用状态切换模型预测已实现的波动性

IF 4.8 2区经济学

International Review of Economics & Finance Pub Date : 2025-05-13 DOI: 10.1016/j.iref.2025.104171

Yi Ding , Dimos Kambouroudis , David G. McMillan

引用次数: 0

Does firm internationalization improve ESG performance? Evidence from China 企业国际化是否能改善ESG绩效？来自中国的证据

IF 4.8 2区经济学

International Review of Economics & Finance Pub Date : 2025-05-12 DOI: 10.1016/j.iref.2025.104168

Jing Zhou , Kaiwen Wu , Youwei Li

引用次数: 0

ESG and Manager integrity: Evidence from China ESG和管理者诚信：来自中国的证据

IF 4.8 2区经济学

International Review of Economics & Finance Pub Date : 2025-05-12 DOI: 10.1016/j.iref.2025.104133

Wendai Lv, Qiuchi Meng, Zhixia Gan, Shilu Sun

引用次数: 0

Environmental information disclosure and carbon emission efficiency: Evidence from China 环境信息披露与碳排放效率：来自中国的证据

IF 4.8 2区经济学

International Review of Economics & Finance Pub Date : 2025-05-12 DOI: 10.1016/j.iref.2025.104170

Jing Lan , Tianchang Zhai , Xue Sun , Zhen Liu , Lu Lu

引用次数: 0

Outward FDI and income inequality in the home country: The role of wage bargaining 对外直接投资与母国收入不平等：工资议价的作用

IF 4.8 2区经济学

International Review of Economics & Finance Pub Date : 2025-05-11 DOI: 10.1016/j.iref.2025.104166

Sajid Anwar , Sizhong Sun

引用次数: 0

The impact of carbon emission trading system on the implied cost of equity capital 碳排放交易制度对权益资本隐含成本的影响

IF 4.8 2区经济学

International Review of Economics & Finance Pub Date : 2025-05-08 DOI: 10.1016/j.iref.2025.104157

Donghui Li, Zhanxiang Zhang, Xin Gao

引用次数: 0

Beyond the tipping point: The nonlinear impact of material sustainability on investment efficiency 超越临界点：材料可持续性对投资效率的非线性影响

IF 4.8 2区经济学

International Review of Economics & Finance Pub Date : 2025-05-08 DOI: 10.1016/j.iref.2025.104158

Jamal A. Nazari , Ehsan Poursoleyman

{"title":"Beyond the tipping point: The nonlinear impact of material sustainability on investment efficiency","authors":"Jamal A. Nazari , Ehsan Poursoleyman","doi":"10.1016/j.iref.2025.104158","DOIUrl":"10.1016/j.iref.2025.104158","url":null,"abstract":"<div><div>Drawing on the shareholder viewpoint adopted by the Sustainability Accounting Standards Board (SASB) to determine materiality, we propose and test a hypothesis for the optimal level of allocating financial resources to projects prioritizing environmental, social, and governance factors, namely sustainability investment. Based on the premise that shareholders consider specific thresholds for sustainability investments, we postulate that shareholders respond positively if the firm's sustainability investments are below the optimal level, whereas they react negatively if the investments are above the optimal level. Using a quadratic and piecewise linear regression, we demonstrate a significant inverted U-shaped linkage between materiality ratings of sustainability and capital investment efficiency for a sample of all U.S. companies listed on ASSET4 spanning from 2008 to 2021. Upon further examination of the sensitivity of the turning point to firm- and market-specific characteristics, we find that leveraged firms and those facing exogenous shocks have a higher optimal level. Our results remain robust across a range of sensitivity tests and offer significant policy implications for regulators and standard setters. These findings can inform the frameworks and guidelines developed by organizations such as the U.S. Securities and Exchange Commission (SEC), the SASB, and the International Sustainability Standards Board (ISSB).</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"101 ","pages":"Article 104158"},"PeriodicalIF":4.8,"publicationDate":"2025-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143941470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Trade credit, corporate business strategy and corporate life cycle 贸易信用，企业经营战略和企业生命周期

IF 4.8 2区经济学

International Review of Economics & Finance Pub Date : 2025-05-08 DOI: 10.1016/j.iref.2025.104141

Ahmed Al-Hadi , Syed Mujahid Hussain

引用次数: 0