Global Finance Journal最新文献_第8页

Effects of domestic and foreign financial stress on stock returns in Asia-Pacific countries 国内外金融压力对亚太国家股票收益的影响

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-08-29 DOI: 10.1016/j.gfj.2025.101178

Oguzhan Ozcelebi , Rim El Khoury , R. Gopinathan , Seong-Min Yoon

{"title":"Effects of domestic and foreign financial stress on stock returns in Asia-Pacific countries","authors":"Oguzhan Ozcelebi , Rim El Khoury , R. Gopinathan , Seong-Min Yoon","doi":"10.1016/j.gfj.2025.101178","DOIUrl":"10.1016/j.gfj.2025.101178","url":null,"abstract":"<div><div>This study employs advanced quantile-based methodologies to investigate the effects of domestic and foreign financial stress on stock market performance across 10 Asia–Pacific countries. Using wavelet quantile correlation and multivariate quantile-on-quantile regression models, we analyze the nonlinear, asymmetric, and time–frequency-dependent relationships under varying market conditions. Results show that foreign financial stress exerts a more consistent and pronounced negative impact on stock returns, particularly in export-dependent economies such as Thailand and Korea. In contrast, the effects of domestic financial stress vary by country. Persistent negative impacts are observed in structurally weaker economies like the Philippines, whereas markets such as China, India, and Australia display adaptability, with correlations shifting to neutral or positive under certain conditions. These findings underscore the significant heterogeneity shaped by differences in economic structure, trade exposure, and financial market characteristics. By comparing the effects of both global and domestic financial stress, this study fills an important gap in the literature. The results provide actionable insights for policymakers working to strengthen financial stability and for investors pursuing effective portfolio diversification strategies.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101178"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144988301","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

Sailing through uncertainty: Shipping's role in financial shock transmission and hedging strategies 航行不确定性：航运在金融冲击传导和对冲策略中的作用

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.2025.101159

Spyros Papathanasiou, Theodore Syriopoulos, Dimitris Kenourgios, Drosos Koutsokostas

{"title":"Sailing through uncertainty: Shipping's role in financial shock transmission and hedging strategies","authors":"Spyros Papathanasiou, Theodore Syriopoulos, Dimitris Kenourgios, Drosos Koutsokostas","doi":"10.1016/j.gfj.2025.101159","DOIUrl":"10.1016/j.gfj.2025.101159","url":null,"abstract":"<div><div>Given shipping's pivotal role in global trade, this study investigates interdependencies between the Baltic Dry Index and various financial and commodity markets, including equities, bonds, real estate, currency, bitcoin, crude oil, natural gas, gold, silver, copper, and zinc. Using the R<sup>2</sup> decomposed connectedness approach for the period 1/1/2012–1/31/2025, the analysis reveals moderate volatility spillovers, notably amplified by geopolitical conflict more than the health crisis. Key findings identify gold and equities as primary shock emitters, while currency and bonds function as major receivers. Shipping generally displays neutral behavior within the network. Portfolio analysis shows that most sampled assets significantly reduce risk for shipping investors. Conversely, shipping effectively minimizes risk for bitcoin and natural gas portfolios. Significant heterogeneity in hedging effectiveness is documented across distinct crisis episodes. These results underscore the imperative for shipping investors to employ tailored hedging strategies and offer policymakers insight into shipping's contained systemic footprint on contagion dynamics.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101159"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144722041","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

Business expectations and public policies amid exogenous shocks: The COVID-19 case in Latin America 外部冲击下的商业预期和公共政策：拉丁美洲的COVID-19病例

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-05-29 DOI: 10.1016/j.gfj.2025.101125

Paula Margaretic , Santiago Mingo , Agustin Sotelo

{"title":"Business expectations and public policies amid exogenous shocks: The COVID-19 case in Latin America","authors":"Paula Margaretic , Santiago Mingo , Agustin Sotelo","doi":"10.1016/j.gfj.2025.101125","DOIUrl":"10.1016/j.gfj.2025.101125","url":null,"abstract":"<div><div>How do public policy responses to exogenous shocks shape business expectations? We examine this question in the context of the COVID-19 pandemic, focusing on the impact of two broad types of policy responses: containment policies (e.g., lockdowns and mobility restrictions) and restorative policies (e.g., vaccine rollouts). Using monthly panel data from 42 countries—20 of which are emerging economies—for the period from 2018 to 2021, we test the effects of both domestic and neighboring countries' policies on business expectations. We find that containment policies significantly depress expectations, while restorative policies enhance them. These effects are moderated by country-level institutional factors such as government trust, political orientation, and financial capacity. We also uncover positive spillover effects from containment policies in neighboring countries. In particular, Latin American countries demonstrate great sensitivity to both domestic and neighboring countries' policies, with this sensitivity being moderated by their institutional characteristics. By focusing on business expectations as a forward-looking mechanism and highlighting institutional and regional variation in responses, this study contributes to research on resilience during global crises.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101125"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144194941","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

ESG fund performance and fund manager trading strategy: Evidence from China ESG基金绩效与基金经理交易策略：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: 2025-08-07 DOI: 10.1016/j.gfj.2025.101167

Tiantian Tang , Jiahui Guo , Liping Zou , Lu Luo

{"title":"ESG fund performance and fund manager trading strategy: Evidence from China","authors":"Tiantian Tang , Jiahui Guo , Liping Zou , Lu Luo","doi":"10.1016/j.gfj.2025.101167","DOIUrl":"10.1016/j.gfj.2025.101167","url":null,"abstract":"<div><div>This study investigates the performance of environmental, social, and governance (ESG) funds compared with their conventional counterparts in China's financial market, using quarterly stockholding data from 2018 to 2021. The findings show that ESG funds consistently outperform conventional ones in generating risk-adjusted excess returns. ESG funds also exhibit lower tendencies toward window dressing and maintain longer investment horizons, reflecting their commitment to long-term objectives and reduced focus on short-term gains. Probit model results reveal that fund managers' personal characteristics—particularly gender and investment style—significantly influence the likelihood of a fund being classified as an ESG fund. Additionally, a trading strategy that mimics ESG principles by investing in high-ESG-rated stocks and divesting from low-rated ones generates positive returns, underscoring the profitability of ESG-based investment strategies. This research provides valuable insights into China's ESG fund landscape and emphasizes its growing role in promoting sustainable development within the global financial ecosystem.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101167"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144892902","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

Cryptocurrency’s price volatility and adaptive learning 加密货币的价格波动和适应性学习

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-06-16 DOI: 10.1016/j.gfj.2025.101132

Joy D. Xiuyao Yang

引用次数: 0

Impact of vertical mergers on rivals' cost of debt 垂直合并对竞争对手债务成本的影响

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-07-11 DOI: 10.1016/j.gfj.2025.101155

Mohammadali Fallah , Palani-Rajan Kadapakkam , Mauro Oliveira

引用次数: 0

Greenwashing, greenhushing, and the path to green banking 洗绿、粉饰和绿色银行之路

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-06-13 DOI: 10.1016/j.gfj.2025.101147

Gennaro De Novellis , Alessia Pedrazzoli , Daniela Pennetta , Valeria Venturelli

{"title":"Greenwashing, greenhushing, and the path to green banking","authors":"Gennaro De Novellis , Alessia Pedrazzoli , Daniela Pennetta , Valeria Venturelli","doi":"10.1016/j.gfj.2025.101147","DOIUrl":"10.1016/j.gfj.2025.101147","url":null,"abstract":"<div><div>This study investigates how governance characteristics, specifically gender diversity, and bank business models influence the transition from greenwashing and greenhushing to becoming green banks. A balanced panel of 150 listed banks worldwide from 2015 to 2021 is used. Latent Markov models are applied as a methodology capable of explaining the evolution of a group of banks and the characteristics that may affect their transition over time. Key findings reveal a positive correlation between having a female CEO with at least 30 % female board representation and the likelihood of a bank shifting from greenwashing to a green stance. Conversely, a higher proportion of women on the board appears to reduce the likelihood of transitioning from greenhushing to a vocal green position, suggesting a more risk-averse and conservative approach. Additionally, investment-oriented banks are more likely to evolve toward vocal green banking than retail and universal banks. The research advances the literature on greenwashing and greenhushing by highlighting the importance of governance characteristics in supporting environmentally responsible practices.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101147"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144298908","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

Analytical fixed income pricing in discrete time: A new family of models 离散时间下的分析性固定收益定价：一类新模型

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-08-31 DOI: 10.1016/j.gfj.2025.101170

Marcos Escobar-Anel , Lars Stentoft , Xize Ye

{"title":"Analytical fixed income pricing in discrete time: A new family of models","authors":"Marcos Escobar-Anel , Lars Stentoft , Xize Ye","doi":"10.1016/j.gfj.2025.101170","DOIUrl":"10.1016/j.gfj.2025.101170","url":null,"abstract":"<div><div>This paper proposes a large class of discrete-time models for interest rates, with flexible distributions on innovations and multiple factors, filling two key gaps in the literature. First, the models are “affine”, and as a result, closed-form pricing for bonds and analytical representations for more general fixed-income products can be obtained. This is reminiscent of the continuous-time models studied in Duffie et al. (2003) and the discrete-time GARCH models for assets introduced by Heston and Nandi (2000). Secondly, the models allow for control of the lower bound of the interest rate, permitting bounded negative rates. This second contribution is absent even from the popular continuous-time literature. As an application, we study the properties and interpretation of our main proposal, a Gaussian-based model with a non-central Chi-square distribution. The model is estimated via maximum likelihood on daily time series of US interest rates for various maturities and monthly interest rates from the G7 countries. The empirical analysis confirms the superiority of our model in terms of likelihood, AIC, and BIC values compared to two benchmarks, an autoregressive model as a discrete-time version of the Vasicek model, and the popular CIR model. Our model also provides additional flexibility in accommodating the yield curve, with massive potential for richer structures while maintaining the key benefits.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101170"},"PeriodicalIF":5.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144988300","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

Social capital and leasing 社会资本与租赁

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-08-29 DOI: 10.1016/j.gfj.2025.101173

Joshua Zhang , Hasibul Chowdhury , Jacquelyn E. Humphrey , Mostafa Monzur Hasan

引用次数: 0

The devil is in the details: Does information in credit rating announcements affect dividend policy? 细节决定成败：信用评级公告中的信息会影响派息政策吗？

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-07-10 DOI: 10.1016/j.gfj.2025.101153

Konstantinos Kakouris , Evangelos Charalambakis , Dimitrios Psychoyios

引用次数: 0