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Multilayer network analysis of idiosyncratic volatility connectedness: Evidence from China
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-14 DOI: 10.1016/j.pacfin.2024.102533
{"title":"Multilayer network analysis of idiosyncratic volatility connectedness: Evidence from China","authors":"","doi":"10.1016/j.pacfin.2024.102533","DOIUrl":"10.1016/j.pacfin.2024.102533","url":null,"abstract":"<div><p>This paper proposes multilayer networks, including lagged, contemporaneous, and long-run networks, to examine the idiosyncratic connectedness among Chinese financial institutions. We explore the topology of multilayer networks through static and dynamic analysis to capture the information transmission mechanism of idiosyncratic risks. Moreover, we investigate the drivers influencing idiosyncratic connectedness across financial institutions. We find that idiosyncratic risk contagion among financial institutions is stronger in the long-run network. At the same time, we note that the three networks contain different connection structures, which means that the information transmission mechanism of idiosyncratic risks is heterogeneous in multilayer networks. In addition, when the financial system is under stress, we observe that the contemporaneous effect of idiosyncratic connectedness rises rapidly. Institutional level analysis shows that diversified financial institutions play active roles in the lagged network, securities institutions are transmitters of contemporaneous information spillovers, and banking institutions are the main drivers of the long-run network. Finally, our study shows that size is the main factor driving idiosyncratic risk spillovers among financial institutions.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142240969","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
Aversion to the use of foreign exchange hedging in state-owned enterprises: Evidence from China 国有企业对使用外汇套期保值的反感：来自中国的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-13 DOI: 10.1016/j.pacfin.2024.102523
{"title":"Aversion to the use of foreign exchange hedging in state-owned enterprises: Evidence from China","authors":"","doi":"10.1016/j.pacfin.2024.102523","DOIUrl":"10.1016/j.pacfin.2024.102523","url":null,"abstract":"<div><p>Using a sample of state-owned enterprises (SOEs) listed in China from 2006 to 2017, we examine the impact of state ownership on foreign exchange (forex) hedging. We find that SOEs engage in forex hedging both less frequently and to a lesser extent than non-SOEs. These results are robust to a series of additional tests, such as difference-in-differences analyses, instrumental variable tests, and alternative explanation tests. The effect is particularly pronounced for SOEs with weaker internal controls, fewer professional auditors, and less marketization. We further find that the use of currency derivatives by SOEs hinders the promotion of managers. Furthermore, the prevalence of subjective performance evaluation in SOEs, as opposed to objective performance measures, affects managers' decisions regarding hedging, as evidenced by negative promotion–performance sensitivity when using financial derivatives. Overall, our study sheds light on the aversion of SOEs to forex hedging, providing insight into the conservative decision-making tendencies of SOE managers under political governance.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142229150","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
Conditional volatility targeting strategy considering jump effects: Evidence from sustainable ESG equity index
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-10 DOI: 10.1016/j.pacfin.2024.102525
{"title":"Conditional volatility targeting strategy considering jump effects: Evidence from sustainable ESG equity index","authors":"","doi":"10.1016/j.pacfin.2024.102525","DOIUrl":"10.1016/j.pacfin.2024.102525","url":null,"abstract":"<div><p>This paper considers the sustainable ESG equity index in the proposed conditional volatility targeting strategy. The research first detects jump risk using a jump test and then extends Bongaerts et al. (2020) by addressing jump risk and employing different volatility models to project volatilities under the conditional volatility targeting strategy. To capture consideration of the fact that index return dynamics, we propose an ARMA-GARCH jump model that can capture the characteristics of jump persistence, autocorrelation, and volatility clustering according to the return of the sustainable equity index. Our numerical analyses reveal that the portfolio allocation using a sustainable equity index to predict volatility, combined with a conditional volatility target strategy, can achieve higher performance. Furthermore, the proposed ARMA-GARCH jump model can enhance the performance with conditional volatility targeting strategy.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142240968","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 impact of COVID-19 on global investor attention COVID-19 对全球投资者关注度的影响
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-07 DOI: 10.1016/j.pacfin.2024.102522
{"title":"The impact of COVID-19 on global investor attention","authors":"","doi":"10.1016/j.pacfin.2024.102522","DOIUrl":"10.1016/j.pacfin.2024.102522","url":null,"abstract":"<div><p>This research explores the effect of COVID-19 on global investor attention using data from G7 and G20 countries. We take the numbers of COVID-19 new confirmed cases and deaths to measure the level of COVID-19. The empirical findings show that COVID-19 new cases and deaths significantly positively correlate to (abnormal) investor attention, especially for G7 countries, but we only see a significantly positive correlation in a few G20 countries. We further consider the effect of COVID-19 variants and vaccination rate on such a correlation and present that its effect on global investor attention is more pronounced during the Alpha variant and Delta variant waves. Finally, we provide evidence when vaccination rates are higher that the positive COVID-19 and global investor attention nexus weakens.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142173744","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
Bankruptcy experiences and cash holding behaviors: Case of Japan 破产经验与现金持有行为：日本案例
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-07 DOI: 10.1016/j.pacfin.2024.102519
{"title":"Bankruptcy experiences and cash holding behaviors: Case of Japan","authors":"","doi":"10.1016/j.pacfin.2024.102519","DOIUrl":"10.1016/j.pacfin.2024.102519","url":null,"abstract":"<div><p>Using data on Japanese listed firms, we find that companies are more likely to take risks when one or more of their directors experience corporate bankruptcy at another firm when serving concurrently as a director. Consequently, these companies reduce their cash reserves by issuing less equity. This tendency to take greater risk is concentrated in firms that are in a more favorable financial condition or where the interlocked bankruptcy firm has been through less costly bankruptcy. Our findings suggest that past experiences significantly shape individual preferences for taking risk, even if these experiences occur during their professional careers. Further, the effects of bankruptcy experiences on Japanese directors, who are usually considered risk averse, exhibit shifts in risk taking like that found in the US.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927538X24002713/pdfft?md5=954dc2d5391293c20272bbacaf002733&pid=1-s2.0-S0927538X24002713-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142163462","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 the geographic location of Blockholders matter? Evidence from Chinese Firms' cross-regional investment 大股东的地理位置重要吗？中国企业跨地区投资的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-05 DOI: 10.1016/j.pacfin.2024.102521
{"title":"Does the geographic location of Blockholders matter? Evidence from Chinese Firms' cross-regional investment","authors":"","doi":"10.1016/j.pacfin.2024.102521","DOIUrl":"10.1016/j.pacfin.2024.102521","url":null,"abstract":"<div><p>Using manually collected geographic location data of both blockholders and subsidiaries of Chinese listed firms from 2003 to 2018, this paper explores the resource effect of nonlocal blockholders (NLBs) and their role in overcoming geographic distance barriers to corporate investment. We find strong evidence that firms with NLBs invest more in cross-provincial subsidiaries, particularly if NLBs are in the same industry as the firm, if they appoint executives to the firm, and if they are state-owned. Moreover, NLBs can help firms obtain more bank loans and government subsidies from the provinces where NLBs are located, thus promoting firms' cross-regional investment. A heterogeneity analysis indicates that the role of NLBs is strengthened if the target regions' institutional environment is unfriendly for firms' cross-regional investment but diminished if the firm has other social networks. Additionally, the cross-regional investment promoted by NLBs entails lower transaction costs and increases the total factor productivity of firms. Our paper expands the research on the heterogeneity and governance role of blockholders and provides new insights into the determinants of subsidiaries' location choices.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142163460","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 media sentiment contagion and stock price jumps and crashes 社交媒体情绪传染与股价暴涨暴跌
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-04 DOI: 10.1016/j.pacfin.2024.102520
{"title":"Social media sentiment contagion and stock price jumps and crashes","authors":"","doi":"10.1016/j.pacfin.2024.102520","DOIUrl":"10.1016/j.pacfin.2024.102520","url":null,"abstract":"<div><p>Inspired by the SIR model, we adopt sentiment extracted from the social media platform (Guba) of Eastmoney in China during 2008–2022 to construct a firm-specific investor sentiment contagion speed measurement and investigate the association between sentiment contagion speed and stock price jumps and crashes. Specifically, we find that the contagion of optimistic sentiment is positively associated with jumps in stock price, while the contagion of pessimistic sentiment is positively associated with the crash risk of stock prices. Moreover, these associations vary based on the prevailing proportion of the sentiment and the market's bull and bear status. Additionally, the stock price movement associated with social sentiment contagion is influenced by short-selling constraints, analyst coverage and institutional ownership.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142229151","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
Does executives' political identity improve firm financial performance? Evidence from China 高管的政治身份能否提高公司财务绩效？来自中国的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-03 DOI: 10.1016/j.pacfin.2024.102518
{"title":"Does executives' political identity improve firm financial performance? Evidence from China","authors":"","doi":"10.1016/j.pacfin.2024.102518","DOIUrl":"10.1016/j.pacfin.2024.102518","url":null,"abstract":"<div><p>Using data from Chinese A-share listed companies between 2010 and 2021, we employ natural language processing techniques and word frequency statistical analysis to investigate the influence of executives' subjective political values on firm financial performance. We draw on social identity theory and find that executives' political identity significantly enhances firm financial performance, with government subsidies and corporate compliance behavior playing intermediary roles. Furthermore, the promotional effect is more pronounced for enterprises that are geographically closer to the government, have lower marketization and are in the central and western regions. Our study contributes to the literature on the subjective political attitudes of Chinese executives and enhances the understanding of the economic consequences of such relationships. Additionally, our research offers valuable insights into corporate performance in countries without partisan conflict.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142163461","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
Supply chain digitization and corporate maturity mismatch: Evidence from a quasi-natural experiment 供应链数字化与企业成熟度错配：来自准自然实验的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-30 DOI: 10.1016/j.pacfin.2024.102514
{"title":"Supply chain digitization and corporate maturity mismatch: Evidence from a quasi-natural experiment","authors":"","doi":"10.1016/j.pacfin.2024.102514","DOIUrl":"10.1016/j.pacfin.2024.102514","url":null,"abstract":"<div><p>This paper examines the impact of supply chain digitization on corporate maturity mismatch by exploiting a quasi-natural experiment in China. We find that the digital transformation of supply chain effectively reduces corporate maturity mismatch, with mitigating information asymmetry and optimizing business decisions being the primary mechanisms. The effect is more significant when firms are facing more severe financing constraints and are in the downstream of the supply chain. Overall, this study contributes to the existing literature on corporate debt structure and the digital supply chain practices.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142128937","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
Navigating the “twin titans” of global manufacturing: The impact of US and China on industrial production forecasting in G20 nations 驾驭全球制造业的 "双巨头"：美国和中国对 G20 国家工业生产预测的影响
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-30 DOI: 10.1016/j.pacfin.2024.102509
{"title":"Navigating the “twin titans” of global manufacturing: The impact of US and China on industrial production forecasting in G20 nations","authors":"","doi":"10.1016/j.pacfin.2024.102509","DOIUrl":"10.1016/j.pacfin.2024.102509","url":null,"abstract":"<div><p>This study shows the influence of the US and China, the world's manufacturing powerhouses, over the performance of the manufacturing sector of G20 countries from the lens of forecasting. Building upon the Bayesian Additive Regression Tree (BART) with Vector autoregression (VAR) and Stochastic Volatility (SV) augmentations, the study forecasts the IPI (Industrial Production Index) of G20 countries and checks whether the addition of US or China data results in any superior forecast. Initial findings highlight a significant interconnectedness between the IPIs of the US and China and those of G20 nations. The empirical findings suggest an increase in the forecast accuracy of many member nations' IPI with the addition of US and China's data for both point and density forecasts. Furthermore, US data offer an overall advantage in the forecast, particularly for developed economies. China's influence is primarily observed in nations where it maintains robust trade relationships. The study provides valuable insights into the dynamics of global manufacturing. It highlights the importance of considering the role of major players such as the US and China when making predictions about future trends.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142150180","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
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