Global Finance Journal最新文献_第7页

Green dreams, risky assets? A study of high-yield green bonds 绿色梦想，风险资产？高收益绿色债券的研究

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-07-26 DOI: 10.1016/j.gfj.2025.101158

Sang Baum Kang , Satwik Sinha , Jiyong Eom

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引用次数: 0

Global competitiveness and market liquidity 全球竞争力和市场流动性

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-06-18 DOI: 10.1016/j.gfj.2025.101148

Jang-Chul Kim , Sharif Mazumder , Ali Nejadmalayeri , Qing Su

引用次数: 0

Hydroclimatic risk mispricing: Evidence from China 水文气候风险错误定价：来自中国的证据

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-07-25 DOI: 10.1016/j.gfj.2025.101157

Jiaming Su, Yongqiao Wang

引用次数: 0

Do ESG rating changes matter? Evidence from Chinese stock market ESG评级的变化重要吗？证据来自中国股市

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 DOI: 10.1016/j.gfj.2025.101180

Dianhao Liu, Jun Zhou

引用次数: 0

Cryptocurrencies and alternative bonds: Novel evidence on co-movement and risk sharing 加密货币和替代债券：共同运动和风险分担的新证据

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-06-24 DOI: 10.1016/j.gfj.2025.101149

Osamah AlKhazali , Destan Kirimhan , Mustafa Raza Rabbani , Syed Mabruk Billah , Muneer Shaik

{"title":"Cryptocurrencies and alternative bonds: Novel evidence on co-movement and risk sharing","authors":"Osamah AlKhazali , Destan Kirimhan , Mustafa Raza Rabbani , Syed Mabruk Billah , Muneer Shaik","doi":"10.1016/j.gfj.2025.101149","DOIUrl":"10.1016/j.gfj.2025.101149","url":null,"abstract":"<div><div>In light of the rising macro-financial, geopolitical, and environmental risks, alternative assets such as cryptocurrencies, green bonds, and sukuk have received increasing attention for their potential in risk hedging and diversification. This study examines the dynamic return spillovers and risk-sharing interconnections among conventional and gold-backed Islamic cryptocurrencies, green bonds, and sukuk using daily data from 2018 to 2023. Employing a novel combination of frequency-based quantile connectedness and quantile cross-spectral techniques, we investigate time- and frequency-dependent interconnections under varying market conditions. Our results are threefold: First, Islamic gold-backed cryptocurrencies, green bonds, and sukuk exhibit intense co-movement and risk-sharing, in contrast to conventional cryptocurrencies, which display differential patterns. Second, return spillovers and connectedness intensify significantly during market stress periods such as the COVID-19 pandemic and the Russia–Ukraine war, with Islamic gold-backed cryptocurrencies showing stronger resilience and hedging potential than conventional cryptocurrencies. Third, return spillovers are more pronounced in the short term compared to the long term, potentially driven by liquidity flows, investor behavior, and high-frequency trading. Our findings suggest important implications for investors, fund managers, regulators, and policymakers.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101149"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144511064","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

Assessing dynamic connectedness in global supply chain infrastructure portfolios: The impact of risk factors and extreme events 评估全球供应链基础设施组合中的动态连通性：风险因素和极端事件的影响

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-08-07 DOI: 10.1016/j.gfj.2025.101166

Haibo Wang

{"title":"Assessing dynamic connectedness in global supply chain infrastructure portfolios: The impact of risk factors and extreme events","authors":"Haibo Wang","doi":"10.1016/j.gfj.2025.101166","DOIUrl":"10.1016/j.gfj.2025.101166","url":null,"abstract":"<div><div>This paper analyzes global supply chain investment risk factors (i.e., energy market, investor sentiment, and global shipping costs). It then presents portfolio strategies responsive to dynamic risks. We employ a time-varying vector autoregression model to examine the spillovers and interconnectedness among these factors from January 5, 2010, to June 29, 2023, using a set of environmental, social, and governance (ESG) indexes. Hedge ratios (HRs) and hedging effectiveness (HE) are calculated to determine optimal long and short positions for these portfolios. We then assess the impact of extreme events on risk spillovers and investment strategies by comparing periods before and after COVID-19. Our results show that risk shocks drive dynamic connectedness among infrastructure portfolios, and we highlight how extreme events affect spillovers and investment outcomes. Portfolios with higher ESG scores exhibit stronger connectedness with other portfolios and factors. Net total directional connectedness indicates that West Texas Intermediate (WTI), the Baltic Exchange Dry Index, and the investor sentiment volatility index (VIX) are consistent net receivers of spillover shocks, while the GLFOX portfolio alternates as a time-varying receiver and transmitter. Pairwise connectedness analysis reveals that WTI and VIX are predominantly receivers, whereas CSUAX, GII, and FGIAX portfolios act as net transmitters. COVID-19 altered the structure of dynamic connectedness across portfolios: shifts in mean HR and HE suggest that long/short position weights underwent structural changes post-outbreak, and portfolios with higher ESG scores demonstrated superior hedging ability. These findings offer valuable insights for investors adjusting hedging strategies in global supply chain infrastructure investments.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101166"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144810653","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

Regulatory enforcement actions and bank liquidity creation: Evidence from China 监管执法行动与银行流动性创造：来自中国的证据

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-08-10 DOI: 10.1016/j.gfj.2025.101169

Yuanbiao Huang , Jinlei Li

{"title":"Regulatory enforcement actions and bank liquidity creation: Evidence from China","authors":"Yuanbiao Huang , Jinlei Li","doi":"10.1016/j.gfj.2025.101169","DOIUrl":"10.1016/j.gfj.2025.101169","url":null,"abstract":"<div><div>We investigate how regulatory enforcement shapes bank liquidity creation, using a manually-collected dataset of administrative penalties combined with panel data for 368 Chinese commercial banks from 2010 to 2023. Employing a bank-level fixed-effects model, we find that enforcement causally enhances liquidity creation. This effect is not transitory, persisting for a 3-year period after sanctions. This positive effect operates through three channels: a strategic reallocation of bank portfolios, a strengthening of capital buffers, and an improvement in information disclosure. Furthermore, the effect is more pronounced for larger banks, for banks in regions with stronger supervisory capacity, and for sanctions targeting institutions rather than individual employees. Our study contributes to the literature by reframing the role of regulatory enforcement. We show that, rather than solely acting as a disciplinary constraint, well-designed sanctions can serve as a catalyst for beneficial adjustments in bank strategy and governance. This offers new insights into how supervisory design in emerging markets can bolster financial stability without compromising banks' financial intermediation capacity.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101169"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144813839","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

The power of attention: examining the roles of institutional investor and macroeconomic news attention in shaping share liquidity 注意力的力量：研究机构投资者和宏观经济新闻关注在塑造股票流动性中的作用

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-07-24 DOI: 10.1016/j.gfj.2025.101160

John Garcia

{"title":"The power of attention: examining the roles of institutional investor and macroeconomic news attention in shaping share liquidity","authors":"John Garcia","doi":"10.1016/j.gfj.2025.101160","DOIUrl":"10.1016/j.gfj.2025.101160","url":null,"abstract":"<div><div>This study examines the joint influence of institutional investor attention and macroeconomic news attention on firm-level share liquidity, revealing distinct effects across heterogeneous market segments. Analyzing 1.23 million firm-day observations from 2468 U.S. firms (2015–2020), I combine Bloomberg terminal readership data—a proxy for institutional investor attention—with a novel macroeconomic attention index derived from a principal-component analysis of coverage in The Wall Street Journal and The New York Times. The results reveal significant heterogeneity: institutional investor attention reduces liquidity in information-opaque settings, widening spreads for low-institutional ownership and small-cap firms, while modestly improving liquidity for transparent large-cap firms, where attention serves to validate rather than signal private information. Macroeconomic news attention itself widens spreads while simultaneously dampens the effect of institutional investor attention, consistent with a cognitive substitution channel. These effects intensify during market downturns, highlighting the fragility of liquidity when attention is scarce. Propensity score matching, difference-in-differences tests, and alternative liquidity measures confirm the results. The findings provide a unified framework that reconciles previous evidence and offers actionable insights for traders' execution timing, market makers' spread calibration, and regulators' detection of liquidity fragility during periods of macroeconomic stress.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101160"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144773099","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

Unbundling institutions for corporations 为企业拆分机构

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-08-19 DOI: 10.1016/j.gfj.2025.101171

Dong Wook Lee , Jee Eun Lee , Lingxia Sun

{"title":"Unbundling institutions for corporations","authors":"Dong Wook Lee , Jee Eun Lee , Lingxia Sun","doi":"10.1016/j.gfj.2025.101171","DOIUrl":"10.1016/j.gfj.2025.101171","url":null,"abstract":"<div><div>This paper proposes that a country's institutions for corporations—especially their roles—can be divided into the supporting for corporate growth and the policing of corporate wrongdoing. We identify the two roles of institutions indirectly yet more effectively through their respective targets. Companies with negative free cash flows (FCF) are the main target of the institutional supporting, while companies with positive FCF are subject primarily to the institutional policing. Using firm-level data from 43 countries for the period of 2000–2018, we find evidence for the possibility and usefulness of this unbundling. Specifically, the cross-country difference in corporate performance is concentrated in negative-FCF firms. To the extent that the corporate performance we examine is a direct outcome of the surrounding institutions, our results suggest that a meaningful cross-country difference in institutional interventions—that is, the ones that create a difference in economic outcome across countries—lies in those for negative-FCF firms. They are the institutional supports that discover and finance corporate growth opportunities so that companies can invest beyond their own means, thereby running negative FCF.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101171"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144908540","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

From noise to signals: Investor attention as a catalyst for the momentum effect in the Chinese stock market 从噪音到信号：投资者关注是中国股市动量效应的催化剂

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-08-25 DOI: 10.1016/j.gfj.2025.101175

Zhi-Yu Zhang , Chi Xie , Gang-Jin Wang , You Zhu , Xiao-Xin Li

{"title":"From noise to signals: Investor attention as a catalyst for the momentum effect in the Chinese stock market","authors":"Zhi-Yu Zhang , Chi Xie , Gang-Jin Wang , You Zhu , Xiao-Xin Li","doi":"10.1016/j.gfj.2025.101175","DOIUrl":"10.1016/j.gfj.2025.101175","url":null,"abstract":"<div><div>The momentum effect is a pricing anomaly that is widely observed in financial markets but not promised in the Chinese stock market. We explore the interaction between investor attention and momentum effects to strengthen momentum-based strategies' profitability by transforming the inherent noise of investor attention into valuable signals. Applying the conditional autoencoder (CAE) asset pricing model, we extract signals from noisy information to estimate stock returns that reflect the expected price adjustments driven by collective attention. Results yield four key conclusions. (i) The signal derived from investor attention acts as a catalyst that significantly enhances momentum strategies' performance, and the attention-based momentum (AttMOM) strategy consistently outperforms the conventional momentum (MOM) strategy in various formation periods. (ii) Although pricing anomalies, such as firm size, influence both strategies' returns, the attention-driven signal enables AttMOM to achieve higher and more stable returns. (iii) Investor attention helps AttMOM to maintain stable profits during market downturns. (iv) Investor attention reinforces the AttMOM strategy's resilience during turbulence, improving its hedging capabilities. Overall, our findings highlight the pivotal role of investor attention in boosting momentum returns, offering valuable insights for investment decision-making.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101175"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144902433","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