China Finance Review International最新文献

{"title":"Time-varying window-based herding detection in the non-fungible token (NFT) marketplace","authors":"Eminda Ishan De Silva, Gayithri Niluka Kuruppu, Sandun Dassanayake","doi":"10.1108/cfri-05-2023-0118","DOIUrl":"https://doi.org/10.1108/cfri-05-2023-0118","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>The non-fungible token (NFT) market had undergone dramatic growth and a sudden decline during 2021–2022. The market experienced a surge in prices in late 2021 and early 2022, with NFTs being sold at inflated prices. Despite this, by April 2022, the market underwent a correction, and the prices of NFTs returned to more reasonable levels. This can be a result of imitating the actions or judgments of a larger group, which is not systematically proven yet. Therefore, this study systematically investigates the applicability of herding behavior in the NFT market.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>This research employs cross-sectional absolute deviation (CSAD) of returns and ordinary least squares (OLS) to test herding behavior with moving time windows of 10, 20 and 30 days based on the sales data collected from public interface of OpenSea between July 1, 2021 and June 30, 2022. Additionally, NFT-related keyword usage analysis is done for the detected herding periods.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>As per the results of the data analyzed, herding behavior was evidenced using 10-, 20- and 30-day time windows from July 1, 2021 to June 30, 2022because of media movement. The findings revealed that this behavior was present and aligned with the overall behavior of the market.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>This study introduces CSAD to examine herding behavior patterns within the NFT market. Complementing this method, keyword count-based analysis is employed to identify the underlying causes of herding behavior. Through this comprehensive approach, this study not only uncovers the roots of herding behavior but also offers an assessment of the time windows during which it occurs, considering the plausible socioeconomic contexts that influence these trends.</p><!--/ Abstract__block -->","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":"64 1","pages":""},"PeriodicalIF":8.2,"publicationDate":"2024-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927173","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A novel granular decomposition based predictive modeling framework for cryptocurrencies' prices forecasting","authors":"Indranil Ghosh, Rabin K. Jana, Dinesh K. Sharma","doi":"10.1108/cfri-03-2023-0072","DOIUrl":"https://doi.org/10.1108/cfri-03-2023-0072","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>Owing to highly volatile and chaotic external events, predicting future movements of cryptocurrencies is a challenging task. This paper advances a granular hybrid predictive modeling framework for predicting the future figures of Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Stellar (XLM) and Tether (USDT) during normal and pandemic regimes.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>Initially, the major temporal characteristics of the price series are examined. In the second stage, ensemble empirical mode decomposition (EEMD) and maximal overlap discrete wavelet transformation (MODWT) are used to decompose the original time series into two distinct sets of granular subseries. In the third stage, long- and short-term memory network (LSTM) and extreme gradient boosting (XGB) are applied to the decomposed subseries to estimate the initial forecasts. Lastly, sequential quadratic programming (SQP) is used to fetch the forecast by combining the initial forecasts.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>Rigorous performance assessment and the outcome of the Diebold-Mariano’s pairwise statistical test demonstrate the efficacy of the suggested predictive framework. The framework yields commendable predictive performance during the COVID-19 pandemic timeline explicitly as well. Future trends of BTC and ETH are found to be relatively easier to predict, while USDT is relatively difficult to predict.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>The robustness of the proposed framework can be leveraged for practical trading and managing investment in crypto market. Empirical properties of the temporal dynamics of chosen cryptocurrencies provide deeper insights.</p><!--/ Abstract__block -->","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":"106 1","pages":""},"PeriodicalIF":8.2,"publicationDate":"2024-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139375469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Extended model to explain customer attitude toward NFT and moderating effect of technology optimism","authors":"Won-jun Lee","doi":"10.1108/cfri-03-2023-0065","DOIUrl":"https://doi.org/10.1108/cfri-03-2023-0065","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This study empirically examined consumer adoption attitudes and behaviors toward nonfungible tokens (NFTs). Findings indicate that consumer attitudes toward NFTs are influenced by perceived usefulness, reliability and profit expectancy and that strong attitudes are associated with purchase intentions. Additionally, the relationship between attitudes and purchase intentions was moderated by technology optimism.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The authors utilized a partial least squares (PLS) model to examine the hypotheses in this empirical analysis. Obtaining a sample of actual NFT holders or experienced users is challenging. A total of 105 individuals participated in the study as valid responders by answering the screening question in the questionnaire. The authors opted for the PLS model as a research approach due to the limited size of the consumer population in the NFT market.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>This study discovered that the adoption of NFTs was affected by technical aspects such as usefulness and reliability and the potential for future asset growth. Furthermore, the degree of attitude-to-intention conversion varied based on optimism, an inherent characteristic.</p><!--/ Abstract__block -->\u0000<h3>Research limitations/implications</h3>\u0000<p>This study offers valuable insights for NFT owners, content providers and trading firms. For the NFT market to expand, it must meet consumers' expectations for the desired content features and asset investment attributes. Additionally, customer targeting strategies should attract and appeal to technology enthusiasts with an optimistic outlook on technology.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>The authors conducted an initial empirical analysis of actual NFT consumers, an area of research studied sparingly despite its significance.</p><!--/ Abstract__block -->","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":"25 1","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138743526","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Use it or lose it: fiscal year-end corporate investment around the world","authors":"Yong H. Kim, Bochen Li, Hyun-Han Shin, Wenfeng Wu","doi":"10.1108/cfri-07-2023-0184","DOIUrl":"https://doi.org/10.1108/cfri-07-2023-0184","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>It is documented that companies and government agencies in the USA invest more in the fourth fiscal quarter without having higher investment opportunities. While previous studies focus on the agency conflicts and information asymmetry within organizations, this study is motivated by Scharfstein and Stein's (2000) two-tiered agency model and aims to examine how firms' external business environment affects the “fourth quarter effect.”</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The authors implement this study in a sample of 41 countries and observe similar seasonality in firm investment as documented in the US market.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>More importantly, using country characteristics, this study finds that firms from countries with better investor rights and protection, and more developed financial markets show less severe over-investment in the fourth fiscal quarter.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>This paper contributes to the literature of law and finance, and the internal capital market, by investigating the quarterly investment patterns of firms from 41 countries. The authors find that similar to the results in earlier studies on the US market, firms in the global market increase their capital expenditure in the fourth fiscal quarter, indicating that the internal agency conflicts between the headquarters and divisional managers are widespread across the world. The authors also find that firms that operate in countries with higher investor rights and protection, and more developed financial markets, tend to show less severe “fourth quarter effect”.</p><!--/ Abstract__block -->","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":"9 1","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138683683","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Shaping corporate ESG performance: role of social trust in China's capital market","authors":"Tiantian Tang, Liyan Yang","doi":"10.1108/cfri-07-2023-0187","DOIUrl":"https://doi.org/10.1108/cfri-07-2023-0187","url":null,"abstract":"PurposeThis study investigates the influence of social trust on the attainment of corporate environmental, social and governance (ESG) objectives.Design/methodology/approachThis study conducts panel regression analysis on a distinctive dataset for 2009–2017 on Chinese firms.FindingsThe analysis reveals a significant positive association between social trust and firm-level ESG practices. Moreover, the impact of social trust on shaping ESG outcomes is further amplified by factors such as economic growth, corporate governance standards and institutional quality. This relationship remains statistically positive when the authors employ alternative measures and methodologies, such as the instrumental variables, propensity score matching and difference-in-differences approaches. Notably, the results of heterogeneity tests indicate that the Trust–ESG nexus is more prominent for state-owned enterprises and firms with substantial market capitalization, superior profitability and higher leverage.Originality/valueThis study expands the comprehension of the determinants of ESG and underscores the influential role of social trust as an informal institution in enhancing a firm's ESG performance.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":"49 24","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138593778","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Does the big boss of coins—Bitcoin—protect a portfolio of new-generation cryptos? Evidence from memecoins, stablecoins, NFTs and DeFi","authors":"Monika Chopra, Chhavi Mehta, Prerna Lal, Aman Srivastava","doi":"10.1108/cfri-03-2023-0076","DOIUrl":"https://doi.org/10.1108/cfri-03-2023-0076","url":null,"abstract":"PurposeThe purpose of this research is to primarily understand how crypto traders can use the Bitcoin as a hedge or safe haven asset to reduce their losses from crypto trading. The study also aims to provide insights to crypto investors (portfolio managers) who wish to maintain a crypto portfolio for the medium term and can use the Bitcoin to minimize their losses. The findings of this research can also be used by policymakers and regulators for accommodating the Bitcoin as a medium of exchange, considering its safe haven nature.Design/methodology/approachThis study applies the cross-quantilogram (CQ) approach introduced by Han et al. (2016) to examine the safe-haven property of the Bitcoin against the other selected crypto assets. This method is robust for estimating bivariate volatility spillover between two markets given unusual distributions and extreme observations. The CQ method is capable of calculating the magnitude of the shock from one market to another under different quantiles. Additionally, this method is suitable for fat-tailed distributions. Finally, the method allows anticipating long lags to evaluate the strength of the relationship between two variables in terms of durations and directions simultaneously.FindingsThe Bitcoin acts as a weak safe haven asset for a majority of new crypto assets for the entire study period. These results hold even during greed and fear sentiments in the crypto market. The Bitcoin has the ability to protect crypto assets from sharp downturns in the crypto market and hence gives crypto traders some respite when trading in a highly volatile asset class.Originality/valueThis study is the first attempt to show how the Bitcoin can act as a true matriarch/patriarch for crypto assets and protect them during market turmoil. This study presents a clear and concise representation of this relationship via heatmaps constructed from CQ analysis, depicting the quantile dependence association between the Bitcoin and other crypto assets. The uniqueness of this study also lies in the fact that it assesses the protective properties of the Bitcoin not only for the entire sample period but also specifically during periods of greed and fear in the crypto market.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":"112 1","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539896","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Investor sentiment and the NFT hype index: to buy or not to buy?","authors":"Valeriia Baklanova, Aleksei Kurkin, Tamara Teplova","doi":"10.1108/cfri-06-2023-0175","DOIUrl":"https://doi.org/10.1108/cfri-06-2023-0175","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>The primary objective of this research is to provide a precise interpretation of the constructed machine learning model and produce definitive summaries that can evaluate the influence of investor sentiment on the overall sales of non-fungible token (NFT) assets. To achieve this objective, the NFT hype index was constructed as well as several approaches of XAI were employed to interpret Black Box models and assess the magnitude and direction of the impact of the features used.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The research paper involved the construction of a sentiment index termed the NFT hype index, which aims to measure the influence of market actors within the NFT industry. This index was created by analyzing written content posted by 62 high-profile individuals and opinion leaders on the social media platform Twitter. The authors collected posts from the Twitter accounts that were afterward classified by tonality with a help of natural language processing model VADER. Then the machine learning methods and XAI approaches (feature importance, permutation importance and SHAP) were applied to explain the obtained results.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The built index was subjected to rigorous analysis using the gradient boosting regressor model and explainable AI techniques, which confirmed its significant explanatory power. Remarkably, the NFT hype index exhibited a higher degree of predictive accuracy compared to the well-known sentiment indices.</p><!--/ Abstract__block -->\u0000<h3>Practical implications</h3>\u0000<p>The NFT hype index, constructed from Twitter textual data, functions as an innovative, sentiment-based indicator for investment decision-making in the NFT market. It offers investors unique insights into the market sentiment that can be used alongside conventional financial analysis techniques to enhance risk management, portfolio optimization and overall investment outcomes within the rapidly evolving NFT ecosystem. Thus, the index plays a crucial role in facilitating well-informed, data-driven investment decisions and ensuring a competitive edge in the digital assets market.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>The authors developed a novel index of investor interest for NFT assets (NFT hype index) based on text messages posted by market influencers and compared it to conventional sentiment indices in terms of their explanatory power. With the application of explainable AI, it was shown that sentiment indices may perform as significant predictors for NFT sales and that the NFT hype index works best among all sentiment indices considered.</p><!--/ Abstract__block -->","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":"116 1","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539897","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Will commodity futures reduce systemic risk in the spot market? Evidence from Chinese commodity market","authors":"Qing Liu, Yun Feng, Mengxia Xu","doi":"10.1108/cfri-05-2023-0103","DOIUrl":"https://doi.org/10.1108/cfri-05-2023-0103","url":null,"abstract":"PurposeThis paper aims to investigate whether the establishment of commodity futures can effectively hedge systemic risk in the spot network, given the context of financialization in the commodity futures market.Design/methodology/approachUtilizing industry association data from the Chinese commodity market, the authors identify systemically important commodities based on their importance in the production process using multiple graph analysis methods. Then the authors analyze the effect of listing futures on the systemic risk in the spot market with the staggered difference-in-differences (DID) method.FindingsThe findings suggest that futures contracts help reduce systemic risks in the underlying spot network. Systemic risk for a commodity will decrease by approximately 5.7% with the introduction of each corresponding futures contract, since the hedging function of futures reduces the timing behavior of firms in the spot market. Establishing futures contracts for upstream commodities lowers systemic risks for downstream commodities. Energy commodities, such as crude oil and coal, have higher systemic importance, with the energy sector dominating systemic importance, while some chemical commodities also have considerable systemic importance. Meanwhile, the shortest transmission path for risk propagation is composed of the energy industry, chemical industry, agriculture/metal industry and final products.Originality/valueThe paper provides the following policy insights: (1) The role of futures contracts is still positive, and future contracts should be established upstream and at more systemically important nodes in the spot production chain. (2) More attention should be paid to the chemical industry chain, as some chemical commodities are systemically important but do not have corresponding futures contracts. (3) The risk source of the commodity spot market network is the energy industry, and therefore, energy-related commodities should continue to be closely monitored.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":"9 1","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138603939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Is there a nexus between NFT, DeFi and carbon allowances during extreme events?","authors":"Bikramaditya Ghosh, Mariya Gubareva, Noshaba Zulfiqar, A. Bossman","doi":"10.1108/cfri-03-2023-0057","DOIUrl":"https://doi.org/10.1108/cfri-03-2023-0057","url":null,"abstract":"PurposeThe authors target the interrelationships between non-fungible tokens (NFTs), decentralized finance (DeFi) and carbon allowances (CA) markets during 2021–2023. The recent shift of crypto and DeFi miners from China (the People's Republic of China, PRC) green hydro energy to dirty fuel energies elsewhere induces investments in carbon offsetting instruments; this is a backdrop to the authors’ investigation.Design/methodology/approachThe quantile vector autoregression (VAR) approach is employed to examine extreme-quantile-connectedness and spillovers among the NFT Index (NFTI), DeFi Pulse Index (DPI), KraneShares Global Carbon Strategy ETF price (KRBN) and the Solactive Carbon Emission Allowances Rolling Futures Total Return Index (SOLCARBT).FindingsAt bull markets, DPI is the only consistent net shock transmitter as NFTI transmits innovations only at the most extreme quantile. At bear markets, KRBN and SOLCARBT are net shock transmitters, while NFTI is the only consistent net shock receiver. The receiver-transmitter roles change as a function of the market conditions. The increases in the relative tail dependence correspond to the stress events, which make systemic connectedness augment, turning market-specific idiosyncratic considerations less relevant.Originality/valueThe shift of digital asset miners from the PRC has resulted in excessive fuel energy consumption and aggravated environmental consequences regarding NFTs and DeFi mining. Although there exist numerous studies dedicated to CA trading and its role in carbon print reduction, the direct nexus between NFT, DeFi and CA has never been addressed in the literature. The originality of the authors’ research consists in bridging this void. Results are valuable for portfolio managers in bull and bear markets, as the authors show that connectedness is more intense under such conditions.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":"141 ","pages":""},"PeriodicalIF":8.2,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139242715","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The deterrent effect of central environmental protection inspection: evidence from Chinese listed companies","authors":"Xiaoyun Wei, Chuanmin Zhao","doi":"10.1108/cfri-02-2023-0019","DOIUrl":"https://doi.org/10.1108/cfri-02-2023-0019","url":null,"abstract":"PurposeIn this paper, the authors take the central environmental protection inspection (CEPI) as an exogenous shock to study the reaction of the stock market in China. Using the event study method, the authors check how the first round of the first batch of CEPI supervision affects the cumulative abnormal return (CAR) of the listed firms on the Shenzhen or Shanghai stock exchange. This paper aims to discuss the aforementioned objective.Design/methodology/approachIn this paper, the authors take the first round of the first batch of CEPI supervision as a clean exogenous shock to study its effects on the capital market. The authors collect daily trading data from the China stock market and accounting research (CSMAR) database, with the sample containing 1,950 Chinese firms listed on either the Shenzhen or Shanghai stock exchanges. And detailed information on CEPI supervision is obtained from the official website of the Ministry of Ecology and Environment of the People's Republic of China. The event study method is adopted to analyze the reaction of the stock market under CEPI supervision. Specifically, the authors constructed the cumulative abnormal return of each firm around the event day of CEPI. To capture the deterrent effects of CEPI supervision, the authors examine the situation of polluting and non-polluting firms in the supervised provinces, adjacent provinces and provinces that are not supervised or close to the supervised provinces, respectively.FindingsThis paper throws light on the following: (1) the polluting firms in the supervised provinces were negatively impacted by CEPI within 20 trading days of the event day, and its effects spread to the polluting firms in the neighboring provinces; (2) CEPI had a favorable impact on the non-polluting businesses in the provinces that are neither supervised nor close to the supervised provinces. The authors contend that it is because the investment is being forced out of the polluting sector and into the non-polluting sector, which is more pronounced in the provinces not directly or indirectly targeted by CEPI; (3) by comparison, the “looking back monitoring of the first round” has had no discernible detrimental impact on the firms' CAR, indicating an important role of psychology anticipation of investors in the stock market performance; (4) although not physically located in the supervised provinces, the downstream enterprises of the polluting firms suffer significantly from CEPI shock; (5) the effectiveness of CEPI supervision in the supervised provinces depends on the level of local environmental regulation and the ownership structure of the company. Private firms in the provinces with stronger environmental regulations suffer more from the CEPI shock; (6) the multivariate analysis shows that while enterprises with high ROE and financial leverage may be at risk of CAR loss, older, larger firms are less likely to experience CEPI shock; (7) the study of persistent effect reveals that the strike o","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135689755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}