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Analysing the impacts of unscheduled news events on stock market contagion during the epidemic 分析流行病期间计划外新闻事件对股市传染的影响
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-01-21 DOI: 10.1002/ijfe.2930
Yi Zhang, Long Zhou, Baoxiu Wu, Fang Liu
{"title":"Analysing the impacts of unscheduled news events on stock market contagion during the epidemic","authors":"Yi Zhang,&nbsp;Long Zhou,&nbsp;Baoxiu Wu,&nbsp;Fang Liu","doi":"10.1002/ijfe.2930","DOIUrl":"10.1002/ijfe.2930","url":null,"abstract":"<p>This paper investigates the impact of unscheduled news announcements on market contagion during the COVID-19 pandemic. Using coexceedance of stock returns as a metric for market contagion effect, we assess the contribution of news releases from the United States and China on the financial contagion of a representative group of global equity markets through a quantile analysis framework. The empirical results are mixed: news events originating in the United States have a greater impact on market contagion compared with those originating in China, especially at lower quantiles. Stock markets respond asymmetrically to good news versus bad news, and the latter lead to a sharper common fall among the markets than the boost to the market caused by good news. We also find evidence that conditional variance and investor sentiment play some role in the spread of financial market crises, despite differences in extent and direction.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"590-601"},"PeriodicalIF":2.8,"publicationDate":"2024-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2930","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139609621","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Frequent batch auction versus continuous time auction under order cancellation and maker-taker fee 订单取消和做市商费用下的频繁批量拍卖与连续时间拍卖
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-01-20 DOI: 10.1002/ijfe.2929
Hengshun Ge, Haijun Yang
{"title":"Frequent batch auction versus continuous time auction under order cancellation and maker-taker fee","authors":"Hengshun Ge,&nbsp;Haijun Yang","doi":"10.1002/ijfe.2929","DOIUrl":"10.1002/ijfe.2929","url":null,"abstract":"<p>We investigate the consequences of different market designs and policies on market quality in a high-frequency market. Based on an extensible theoretical framework, high-frequency traders in our model can be either market makers or arbitragers, which leads to a Nash equilibrium between their utilities. We consider the optimal strategies of different market agents in various market conditions based on the equilibrium. We find frequent batch auctions benefit market liquidity but harm market volatility compared to continuous-time auctions. Order cancellation ban harms market quality while the taker fee is beneficial. We also find that market design and policy changes are only effective in low-latency markets. Finally, we address that the total effect of high-frequency trading is positive, so it is vital to reap high-frequency traders' benefits while minimising their harms in high-frequency markets.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"570-589"},"PeriodicalIF":2.8,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139524407","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Exchange rate misalignment and financial development in Africa 汇率失调与非洲金融发展
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-01-19 DOI: 10.1002/ijfe.2935
Tii N. Nchofoung, Nathanael Ojong, Ladifatou Ndi Gbambie Gachili
{"title":"Exchange rate misalignment and financial development in Africa","authors":"Tii N. Nchofoung,&nbsp;Nathanael Ojong,&nbsp;Ladifatou Ndi Gbambie Gachili","doi":"10.1002/ijfe.2935","DOIUrl":"10.1002/ijfe.2935","url":null,"abstract":"<p>We examine the effect of misaligned exchange rates on financial development in Africa. Results from quantile regression techniques and the IV Lewbel estimator reveal that exchange rate misalignment significantly hampers financial development on that continent. This result is robust across financial institutions and financial markets. We also show that while the effects of misaligned exchange rates are negative on financial institutions and positive on financial markets in African franc-zone countries, the effects are consistently negative across all financial sectors in the non-franc-zone countries there. When robustness assessment is done using quantile regression, the results show that the negative effect of misalignment on financial development is only feasible from the 75th percentile and higher in Africa in general and for the non-franc-zone countries in particular.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"552-569"},"PeriodicalIF":2.8,"publicationDate":"2024-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515768","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Digitalization and firms' systematic risk in China 数字化与中国企业的系统性风险
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-01-17 DOI: 10.1002/ijfe.2931
Kangqi Jiang, Mengling Zhou, Zhongfei Chen
{"title":"Digitalization and firms' systematic risk in China","authors":"Kangqi Jiang,&nbsp;Mengling Zhou,&nbsp;Zhongfei Chen","doi":"10.1002/ijfe.2931","DOIUrl":"10.1002/ijfe.2931","url":null,"abstract":"<p>Previous literature indicates that digitalization offers enterprises competitive advantages. However, However, its potential impact on risk management remains uncertain. Thus, this study explores the causality between digital transformation and systematic risk of Chinese public companies during 2007–2020. We developed a digital-related keywords dictionary using textual analysis to identify investments in digital assets which serve as a measure of corporate digitalization. Our findings suggest a negative correlation between digital transformation and enterprise systematic risk. This relationship is further supported by robustness tests, adjustments for endogeneity, and random forest predictions. The risk-reducing effect of digitalization is more pronounced in non-state-owned, small, high-asset-density, and low-investor-attention enterprises. Additionally, we explore potential mechanisms: the financial leverage channel, operating leverage channel, and investor loyalty channel. Empirical observations indicate that enterprise digitalization: (1) lowers financing costs, curbing an inclination towards excessive debt; (2) enhances operational cost management and stimulates sales growth; and (3) boosts long-term investor holdings, decreases stock price synchronization, and mitigates crash risks. This study offers new insights into assessing the sustainability of digitalization and mitigating systematic risks of enterprises.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"522-551"},"PeriodicalIF":2.8,"publicationDate":"2024-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139617092","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Does institutional quality matter for renewable energy promotion in OECD economies? 机构质量对经合组织经济体推广可再生能源是否重要？
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-01-10 DOI: 10.1002/ijfe.2926
Shuddhasattwa Rafiq, Sudharshan Reddy Paramati, Md. Samsul Alam, Khalid Hafeez, Muhammad Shafiullah
{"title":"Does institutional quality matter for renewable energy promotion in OECD economies?","authors":"Shuddhasattwa Rafiq,&nbsp;Sudharshan Reddy Paramati,&nbsp;Md. Samsul Alam,&nbsp;Khalid Hafeez,&nbsp;Muhammad Shafiullah","doi":"10.1002/ijfe.2926","DOIUrl":"10.1002/ijfe.2926","url":null,"abstract":"<p>This study examines the effect of institutional quality on renewable energy promotion in OECD economies. The study employs annual data from 1980 to 2014 on 18 OECD economies. The robust panel unit root tests show that all the considered variables have a similar order of integration, indicating that they are nonstationary at their levels but stationary at the first-order differences. The panel cointegration test with structural breaks and cross-section dependence confirms a long-run equilibrium association between institutional quality, renewable energy consumption and control variables. The analysis of long-run estimations displays that better institutional quality makes a unique and substantial contribution to promoting renewable energy consumption. Overall, the study findings offer important policy implications highlighting the importance of institutional quality for the growth of renewable energy and a sustainable world.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"477-492"},"PeriodicalIF":2.8,"publicationDate":"2024-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2926","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139422604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Risk spillover measurement of carbon trading market considering susceptible factors: A network perspective 考虑易受影响因素的碳交易市场风险溢出测量：网络视角
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-01-10 DOI: 10.1002/ijfe.2928
Qingli Dong, Lanlan Lian, Qichuan Jiang
{"title":"Risk spillover measurement of carbon trading market considering susceptible factors: A network perspective","authors":"Qingli Dong,&nbsp;Lanlan Lian,&nbsp;Qichuan Jiang","doi":"10.1002/ijfe.2928","DOIUrl":"10.1002/ijfe.2928","url":null,"abstract":"<p>An objective and robust network-based data-driven strategy is proposed to analyze risk spillovers in carbon markets. First, we characterize the causality network between the carbon market and potential associated markets using a data-driven fuzzy cognitive map approach. Second, network-based community detection is conducted to explore community structures that include carbon trading markets, and five market factors belonging to the same community as EU Allowances (EUA) are identified. Next, we conduct downside and upside-tail measurements of EUA risk spillover levels within the community based on estimates and fits of marginal and joint distributions for different market pairs. Finally, we point out that the market factor having the most significant upper-tail spillover effects on EUA is OILFUTURE, besides, EURUSD asset is found to be the best hedge for EUA futures among the detected market factors.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"493-521"},"PeriodicalIF":2.8,"publicationDate":"2024-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139421368","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Cross-border buyout exit success 跨境收购成功退出
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-01-03 DOI: 10.1002/ijfe.2925
Siyang Tian
{"title":"Cross-border buyout exit success","authors":"Siyang Tian","doi":"10.1002/ijfe.2925","DOIUrl":"10.1002/ijfe.2925","url":null,"abstract":"<p>This paper examines the importance of institutional contexts in cross-border buyout exit success. After tracking 2639 cross-border buyout investments during 1998–2007 in 38 countries and regions as of 2016, I find that the higher the institutional quality of the country where the portfolio company is located, the higher the probability of a successful exit via IPO or M&amp;A. The larger the institutional distance between the portfolio company country and the private equity (PE) firm country, the lower the exit success, while PE firms' international experience, industrial experience, and reputation help improve exit success. Further, their industrial experience and the establishment of a local office mitigate the adverse effects of institutional distance.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"455-476"},"PeriodicalIF":2.8,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139389069","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Your gender identity is who you are: Female chief executive officers and corporate debt structure 你的性别认同就是你的身份：女性首席执行官与公司债务结构
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-12-20 DOI: 10.1002/ijfe.2923
Yuxuan Huang, Qi Zhu, Cheng Yan, Yeqin Zeng
{"title":"Your gender identity is who you are: Female chief executive officers and corporate debt structure","authors":"Yuxuan Huang,&nbsp;Qi Zhu,&nbsp;Cheng Yan,&nbsp;Yeqin Zeng","doi":"10.1002/ijfe.2923","DOIUrl":"10.1002/ijfe.2923","url":null,"abstract":"<p>Using a large sample of S&amp;P 1500 firms during 1993–2021, we empirically examine the implications of CEO gender on corporate debt structure. We find that after controlling for endogeneity, firms managed by female CEOs issue less debt than those managed by male CEOs. Female CEOs being more risk averse than male CEOs is the underlying mechanism which drives the negative relation between female CEOs and firm leverage. Further, we find that the effect of CEO gender is more pronounced when the firm's CEO is younger, the litigation risk is higher, and the market is more competitive. In terms of debt structure, firms managed by female CEOs prefer to maintain positive debt capacity and have longer debt maturities. Finally, we show that CEO gender has a stronger impact on debt structure than CFO gender. Taken together, our evidence suggests that there exist gender differences in terms of corporate debt borrowing decision making.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"426-454"},"PeriodicalIF":2.8,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2923","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138823998","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does brand capital improve stock liquidity? Evidence from China 品牌资本能否提高股票流动性？来自中国的证据
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-12-17 DOI: 10.1002/ijfe.2918
Muhammad Ansar Majeed, Irfan Ullah, Samia Tariq, Tanveer Ahsan
{"title":"Does brand capital improve stock liquidity? Evidence from China","authors":"Muhammad Ansar Majeed,&nbsp;Irfan Ullah,&nbsp;Samia Tariq,&nbsp;Tanveer Ahsan","doi":"10.1002/ijfe.2918","DOIUrl":"10.1002/ijfe.2918","url":null,"abstract":"<p>This study investigates how brand capital affects stock market liquidity. We posit that brand capital improves the corporate information environment, enhances competitiveness, and increases firm visibility ultimately resulting in higher stock liquidity. Using a sample of Chinese listed firms, we find a positive relationship between brand capital and stock liquidity. Further analyses show that the effect of brand capital is more pronounced for firms with low media coverage and analyst following. Moreover, the effect of brand capital on stock liquidity is significant for non-state-owned enterprises. Our mechanism analyses also confirm that brand capital plays an informational role by effectively mitigating information asymmetry and adverse selection, leading to higher stock liquidity. Our study provides the first evidence of the nexus between brand capital and stock liquidity and extends the literature on the capital market implications of brand capital.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"382-404"},"PeriodicalIF":2.8,"publicationDate":"2023-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138966175","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Green finance, environmental quality and technological innovation in China 中国的绿色金融、环境质量和技术创新
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-12-17 DOI: 10.1002/ijfe.2924
Yan Su, Chien-Chiang Lee
{"title":"Green finance, environmental quality and technological innovation in China","authors":"Yan Su,&nbsp;Chien-Chiang Lee","doi":"10.1002/ijfe.2924","DOIUrl":"10.1002/ijfe.2924","url":null,"abstract":"<p>This research analyses the impact of green finance development on the environmental quality of China. It utilises provincial panel data from 2006 to 2021 and takes technological innovation as the intermediary variable. Through the construction of a comprehensive index of green finance, technological innovation and environmental quality, we verify the hypothesis that green finance development does improve environmental quality. Taking innovation as the intermediary variable, this study examines the hypothesis that green finance enhances environmental quality by improving the level of innovation and also illustrates the importance of developing technology-intensive industries. Heterogeneity analysis shows that different regions or different levels of green financial development have varying effects on environmental improvement. Finally, the findings validate the environmental Kuznets curve (EKC) by showing an inverted U-shape link between green finance and environmental quality. The results herein offer a benchmark for policymakers to further strengthen green finance policy, increase the proportion of green investment and raise the support of green finance for technological innovation, thus improving environmental pollution and promoting sustainable economic development.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"405-425"},"PeriodicalIF":2.8,"publicationDate":"2023-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138966287","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
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