International Journal of Finance & Economics最新文献

Connectedness in exchange rates and news sentiment in the Asia‐Pacific region 亚太地区汇率和新闻情绪的关联性

International Journal of Finance & Economics Pub Date : 2024-08-10 DOI: 10.1002/ijfe.3021

Tjeerd M. Boonman, Jens Fittje

引用次数: 0

Is transparency in sustainability the fruit of business trust: Evidence from sustainability disclosure? 可持续发展的透明度是商业信任的成果吗？可持续发展信息披露的证据？

International Journal of Finance & Economics Pub Date : 2024-08-10 DOI: 10.1002/ijfe.3022

Yanqi Sun, Kun Su, Wei Cai, Min Bai

{"title":"Is transparency in sustainability the fruit of business trust: Evidence from sustainability disclosure?","authors":"Yanqi Sun, Kun Su, Wei Cai, Min Bai","doi":"10.1002/ijfe.3022","DOIUrl":"https://doi.org/10.1002/ijfe.3022","url":null,"abstract":"This research explores the relationship between sustainability disclosures and business trust within a dataset comprising 689 publicly listed companies in China spanning from 2006 to 2018. Our analysis delves into how business trust influences levels of sustainability disclosure, revealing a positive correlation between the two. To ensure the reliability of our findings, we conducted additional tests to address potential endogeneity concerns. Supplementary analyses indicate that this positive relationship between sustainability disclosure and business trust is particularly notable among non‐state‐owned enterprises (non‐SOEs) and companies operating in regions characterized by lower levels of marketization. Our study aligns with the principles of neo‐institutional theory, indicating that business trust, functioning as an informal institution, shapes firms' sustainability disclosure practices through normative pressures. Moreover, we observe that business trust holds more sway over sustainability disclosure practices in contexts where formal institutions are weaker. These findings contribute fresh perspectives on the determinants of sustainability disclosures and underscore the pivotal role of business trust in fostering such disclosures. Based on our findings, we suggest that policymakers should foster a business environment that enhances trust among stakeholders, encouraging firms, especially in regions with weak formal institutions, to engage more rigorously in sustainability disclosure. Such policy initiatives could include developing clearer guidelines for sustainability reporting and promoting transparency as a core business value. The implications of our research extend to managers, regulators, and investors alike, highlighting the need for integrated approaches to enhance transparency and trust in the business sector.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"9 10","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141920350","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Multi‐class financial distress prediction based on stacking ensemble method 基于堆叠集合法的多类财务困境预测

International Journal of Finance & Economics Pub Date : 2024-07-18 DOI: 10.1002/ijfe.3020

Xiaofang Chen, Chong Wu, Zijiao Zhang, Jiaming Liu

{"title":"Multi‐class financial distress prediction based on stacking ensemble method","authors":"Xiaofang Chen, Chong Wu, Zijiao Zhang, Jiaming Liu","doi":"10.1002/ijfe.3020","DOIUrl":"https://doi.org/10.1002/ijfe.3020","url":null,"abstract":"The motivation of this article is to help financial soundness companies understand their specific financial status so that they can take timely measures to avoid financial distress. Existing multi‐class financial distress prediction (FDP) studies have mainly segmented financial crisis status, with less attention paid to financial soundness companies. To fill this gap, we propose a new multi‐class definition of FDP from the perspective of financial soundness enterprises. The financial states are defined as financial soundness, moderate financial soundness, mild financial soundness and financial distress. We propose a stacking ensemble model for multi‐class FDP. First, deep neural network, multinomial logit regression (MNLogit) and multivariate discriminant analysis models are used as basic classifiers to obtain preliminary prediction results. Second, MNLogit is used to integrate the results from the previous step. To increase the effective information, stock information is then added into the model. The proposed model was trained using data from 2007 to 2019 for Chinese listed companies and tested using data from 2020. The results show that the MacroR‐Pre, MacroR‐Rec, MacroR‐F1 and MacroR‐AUC of the proposed model are better compared with the benchmark model, including individuals and ensembles, with 87.05%, 90.68%, 88.70% and 88.20%.The addition of stock information and non‐financial indicators can improve the accuracy of the multi‐class FDP model by about 8%. The innovativeness of this paper is twofold. First, it proposes a new multi‐class definition of enterprise financial status. Second, a multi‐class FDP based on stacking is constructed, which provides a new method for solving the multi‐class FDP problem. The study shows that the proposed multi‐class definition and stacking model are suitable for analysing financial soundness enterprises, which can help managers effectively grasp the specific financial status and have strong practical significance.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":" 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141826233","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

ESG peer effects and corporate financial distress: An executive social network perspective ESG 同行效应与企业财务困境：高管社交网络视角

International Journal of Finance & Economics Pub Date : 2024-07-02 DOI: 10.1002/ijfe.3016

Qian Ding, Jianbai Huang, Jinyu Chen, Ding Wang

引用次数: 0

The scientific tale of the nexus between oil prices, macroeconomic uncertainty and Pakistan's exports to its major trading partners: Insights from advanced methods 石油价格、宏观经济不确定性和巴基斯坦对其主要贸易伙伴出口之间关系的科学故事：先进方法的启示

International Journal of Finance & Economics Pub Date : 2024-06-04 DOI: 10.1002/ijfe.3009

M. Chishti

{"title":"The scientific tale of the nexus between oil prices, macroeconomic uncertainty and Pakistan's exports to its major trading partners: Insights from advanced methods","authors":"M. Chishti","doi":"10.1002/ijfe.3009","DOIUrl":"https://doi.org/10.1002/ijfe.3009","url":null,"abstract":"The recent study aims to analyze the nonlinear dynamic effects of oil price shocks and macroeconomic uncertainty on exports. To achieve this, the study utilizes monthly data from July 2003 to December 2020 on oil prices and macroeconomic uncertainty, examining their impact on Pakistan's exports to its major trading partners. To ensure detailed and robust findings, the study employs various advanced econometric tools, including quantile unit root, cointegration, Granger causality tests, and quantile‐on‐quantile regression (QQR) and wavelet quantile correlation (WQC) techniques. The QQR and WQC estimates reveal diverse and nonlinear effects of oil price shocks and macroeconomic uncertainty on exports, reflecting the complexity of the relationship. While oil price shocks (OP) predominantly hinder exports in most cases, a significant and positive association between OP and exports is also observed. Similarly, macroeconomic uncertainty generally exhibits a significantly adverse influence on exports, but positive impacts are also evident. Furthermore, the quantile Granger causality test confirms the presence of a bidirectional causal relationship between the selected series. Based on the results mentioned above, the study argues that the effects of oil price shocks and economic uncertainty are nonlinear, diverse, and complex. As a result, the study suggests implementing phase‐wise policy recommendations to address these complexities.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141388095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Do responsible practices lead to higher firm productivity? Evidence from Europe 负责任的做法会提高企业生产力吗？欧洲的证据

International Journal of Finance & Economics Pub Date : 2024-06-03 DOI: 10.1002/ijfe.3011

Stefano Piserà, Luca Gandullia, C. Girardone

{"title":"Do responsible practices lead to higher firm productivity? Evidence from Europe","authors":"Stefano Piserà, Luca Gandullia, C. Girardone","doi":"10.1002/ijfe.3011","DOIUrl":"https://doi.org/10.1002/ijfe.3011","url":null,"abstract":"This study examines the impact of corporate social responsibility (CSR) in its environmental, social and governance (ESG) dimensions on firm productivity. We analyze a data set comprising 448 non‐financial firms operating in 15 European countries during the period 2002–2018 and find compelling evidence indicating that both the overall ESG scores and their individual sub‐pillars, are positively associated with total factor productivity (TFP). To ensure the robustness of our findings, we employ multiple analytical approaches to address potential endogeneity and selection biases. Our evidence demonstrates that the link between ESG and TFP link becomes more pronounced during economic slowdowns, particularly in the aftermath of the financial crisis. Furthermore, our investigation reveals that firms' environmental performance plays a pivotal role in driving this relationship. To validate this outcome, we employ a quasi‐natural experiment, focused on the adoption of the international climate change treaty, the 2015 ‘Paris Agreement’. Overall, our results offer valuable insights for policymakers and regulators and confirm that involvement in sustainability practices within the non‐financial sector not only yields societal benefits but also bolsters firm‐level productivity.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"64 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141388844","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Economic policy uncertainty and credit risk in microfinance: A cross‐country analysis 经济政策的不确定性与小额信贷的信贷风险：跨国分析

International Journal of Finance & Economics Pub Date : 2024-05-22 DOI: 10.1002/ijfe.3003

Mufang Xie

引用次数: 0

Embedded theoretical quality option pricing in Treasury bond futures—Starting from the definition deviation of conversion factor 国债期货的嵌入式理论质量期权定价--从转换因子的定义偏差出发

International Journal of Finance & Economics Pub Date : 2024-05-22 DOI: 10.1002/ijfe.3006

Xiaofeng Yang, Ling Zhao

{"title":"Embedded theoretical quality option pricing in Treasury bond futures—Starting from the definition deviation of conversion factor","authors":"Xiaofeng Yang, Ling Zhao","doi":"10.1002/ijfe.3006","DOIUrl":"https://doi.org/10.1002/ijfe.3006","url":null,"abstract":"Unlike ordinary futures, Treasury bond futures are a kind of complex financial derivatives with multiple Treasury bonds as the underlying, which can be settled on multiple dates. China's Treasury bond futures contract embeds a quality option, rolling timing option, and month end timing option, and these options restrict each other, making the pricing of Treasury bond futures extremely difficult. Quality option plays a dominant role in these three options. This article creatively divides quality options into theoretical quality option caused by the definition deviation of conversion factor and disturbance quality option caused by the market factors except for interest rate. Using the bond valuation method based on the yield to maturity curve, this article puts forward the embedded theoretical quality option and China's Treasury bond futures pricing models. For the empirical test, the dataset covers a 10‐year Treasury bond futures contract in 151 working days. The results show that the relative error between our model and the actual closing price of the Treasury bond futures is small compared with the cost of carry model, which excludes any embedded options. This research constructs a practical and straightforward pricing model of embedded theoretical quality option.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"55 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141109170","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Commodity price volatility, institutions and economic growth: An empirical investigation 商品价格波动、制度和经济增长：实证调查

International Journal of Finance & Economics Pub Date : 2024-05-17 DOI: 10.1002/ijfe.2996

Fréjus‐Ferry Houndoga, Gabriel Picone

{"title":"Commodity price volatility, institutions and economic growth: An empirical investigation","authors":"Fréjus‐Ferry Houndoga, Gabriel Picone","doi":"10.1002/ijfe.2996","DOIUrl":"https://doi.org/10.1002/ijfe.2996","url":null,"abstract":"This article investigates the role of institutional quality in transmitting effects of commodity price volatility to economic growth. To do so, we collect data on 107 primary commodity exporting countries in both developing and developed ones over the period 1976–2015. Our empirical approach is based on Solow growth model framework (Solow, R. M. (1956). The Quarterly Journal of Economics, 70(1), 65) and consists of estimating a dynamic panel model using the two‐step system GMM estimator. Our results show evidence that commodity price booms are associated with good economic performances that are unfortunately wiped out by the negative effects of price volatility in developing commodity‐dependent countries (CDCs). The main channel through which this volatility affects economic growth turns out to be through factor productivity. Finally, we have formally established that the negative effect of price volatility in CDCs is mainly due to the poor quality of institutions in these countries. These results suggest that it is important for commodity‐exporting economies, especially developing CDCs, to work on building strong economic and political institutions to guard against the risk of commodity price volatility.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"58 27","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140965470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Can digital M&A reduce the stock price crash risk? 数字并购能否降低股价暴跌风险？

International Journal of Finance & Economics Pub Date : 2024-05-17 DOI: 10.1002/ijfe.2997

Jingyi Guan, Yunhui Wen

{"title":"Can digital M&A reduce the stock price crash risk?","authors":"Jingyi Guan, Yunhui Wen","doi":"10.1002/ijfe.2997","DOIUrl":"https://doi.org/10.1002/ijfe.2997","url":null,"abstract":"With the rapid development of the digital economy, digital mergers and acquisitions (M&A) have become essential means for enterprises to acquire digital technologies and accelerate their digital transformation. This paper examines the impact of digital M&A on stock price crash risk using a sample of M&A transactions of China A‐share listed companies from 2010 to 2021. The results show that digital M&A can reduce stock price crash risk after M&A. Further discussions reveal that compared to non‐digital M&A, digital M&A has a better market effect, and the target firms of digital M&A generally are in different industries from the acquirers, have relatively low registered capital, have a shorter registration time, and have better financial performance. Mechanism tests indicate that during the transaction, digital M&A increases the probability of signing earnout contracts and reduces the cash payment ratio. After the transaction, digital M&A increases research and development (R&D) investment and improves R&D investment efficiency, ultimately reducing stock price crash risk. Cross‐sectional tests suggest that in situations with intense market competition, lower digitalization level of the acquirers, and higher business similarity between the acquirer and the target firm, digital M&A is more effective in reducing stock price crash risk. The findings enrich the research on the operational mechanisms and economic consequences of digital M&A, providing theoretical references for regulatory authorities to optimise M&A regulatory policies and for enterprises to assess the benefits and risks of digital M&A.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"38 8","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140966274","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

International Journal of Finance &amp; Economics最新文献

International Journal of Finance & Economics最新文献