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Tail connectedness: Measuring the volatility connectedness network of equity markets during crises 尾部连通性：衡量危机期间股票市场的波动连接网络
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-30 DOI: 10.1016/j.pacfin.2024.102497
{"title":"Tail connectedness: Measuring the volatility connectedness network of equity markets during crises","authors":"","doi":"10.1016/j.pacfin.2024.102497","DOIUrl":"10.1016/j.pacfin.2024.102497","url":null,"abstract":"<div><p>This paper studies the global volatility connectedness network among 16 stock markets under different market conditions. We construct measures of tail connectedness following Ando et al. (2022) by introducing quantile regression into the classic Diebold–Yilmaz network model. We demonstrate the advantages of using tail connectedness for measuring extreme systemic risk, and examine the dynamic evolution of volatility connectedness from 2005 to 2021 at different quantiles. Our empirical results suggest that when the market is calm, the strength of volatility connectedness is determined by the closeness of economic and trade ties. Although (North) American and European stock markets tend to act as net risk providers during crises, Asian markets have become increasingly influential in the past two decades. We also find that the spillover of extreme risks is predominantly unidirectional, with either the U.S. or China sitting at the center of the spillover network and transmitting risks to the regional centers and peripheral markets.</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":"142128936","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
How are green stocks and monetary policy related? 绿色股票与货币政策有何关系？
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-30 DOI: 10.1016/j.pacfin.2024.102516
{"title":"How are green stocks and monetary policy related?","authors":"","doi":"10.1016/j.pacfin.2024.102516","DOIUrl":"10.1016/j.pacfin.2024.102516","url":null,"abstract":"<div><p>We propose and test the hypothesis that green stocks and monetary policies are interdependent. Using time-series data for two large economies (India and Indonesia), that have adopted inflation targeting regimes, we develop a structural vector autoregressive model of monetary policy and green stocks that combines with output. We find that green stock prices fall (rise) in response to inflation with a lagged effect and policy rate shocks for India (Indonesia). Currency depreciation, on the other hand, increases green stock prices for India but has a muted effect for Indonesia. We also discover that, for India, monetary policies hardly respond to green stock price shocks while, for Indonesia, green stock prices do influence the evolution of monetary price variables. Our main contribution is that we decipher the effects of green stocks from aggregate market shocks and show each of these market price shocks is related to the monetary aggregates.</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":"142137418","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
Digital finance and capital mobility: Evidence from cross-regional investment of listed companies in China 数字金融与资本流动：中国上市公司跨区域投资的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-28 DOI: 10.1016/j.pacfin.2024.102515
{"title":"Digital finance and capital mobility: Evidence from cross-regional investment of listed companies in China","authors":"","doi":"10.1016/j.pacfin.2024.102515","DOIUrl":"10.1016/j.pacfin.2024.102515","url":null,"abstract":"<div><p>This study examines the role of digital finance in dismantling regional barriers to capital flow and in fostering the creation of a unified market. Using the provincial-level digital finance index and data on subsidiaries by listed companies, we demonstrate how digital finance index effectively enhances cross-regional investment. Our findings are robustly supported by extensive tests. We propose two potential mechanisms through which digital finance may influence the level of cross-regional investment by listed companies: first, by reducing the degree of segmentation in capital markets between regions and second, by lowering firms' capital costs and financial constraint. Our results indicate that the impact of digital finance on cross-regional investment is particularly pronounced in environments with higher competition, and among companies without political connections. Additionally, our research indicates that in regions with higher financial regulation, digital finance can better facilitate capital flow. This study provides new research perspectives and evidence on the influence of digital finance on the development of the real economy and the promotion of capital mobility.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142097997","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 financial sanctions on ESG performance of target countries 金融制裁对目标国家环境、社会和治理绩效的影响
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-28 DOI: 10.1016/j.pacfin.2024.102513
{"title":"The impact of financial sanctions on ESG performance of target countries","authors":"","doi":"10.1016/j.pacfin.2024.102513","DOIUrl":"10.1016/j.pacfin.2024.102513","url":null,"abstract":"<div><p>By employing a panel data analysis that covers for 102 countries from 1990 to 2020, this paper investigates the impact of financial sanctions on Environmental, Social, and Governance (ESG) performance of target countries. The results firstly demonstrate that financial sanctions significantly hampered the ESG performance of target countries. More specifically, the implementation of financial sanctions hinders environmental sustainability (E), social equality (S), and corporate governance (G) of target countries respectively. In addition, this paper also finds that financial sanctions significantly decrease ESG performance by restricting foreign capital flow, decreasing the level of globalization and increasing financial risk. Last but not least, this paper concludes that financial development and democracy can create a favorable environment for ESG performance in sanctioned countries and mitigate the adverse effects of financial sanctions.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142137419","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
Buffer or substitute? Corporate financialization and leverage manipulation 缓冲还是替代？公司金融化和杠杆操纵
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-27 DOI: 10.1016/j.pacfin.2024.102508
{"title":"Buffer or substitute? Corporate financialization and leverage manipulation","authors":"","doi":"10.1016/j.pacfin.2024.102508","DOIUrl":"10.1016/j.pacfin.2024.102508","url":null,"abstract":"<div><p>This study examines the impact of financialization on leverage manipulation for nonfinancial companies in China from 2011 to 2021. Using the XLT-LEVM measurement method, we find that corporate financialization can inhibit leverage manipulation. Mechanism analysis suggests that corporate financialization deters leverage manipulation by crowding out debt financing in a substantive way. According to heterogeneity analysis, the inhibitory effect is less pronounced in firms with short-term solvency pressure and intensive external attention. Our findings extend the literature on corporate financialization and demonstrate its role in mitigating leverage manipulation, with implications for both financial practice and public policy.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142122969","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
Product network and origin of common equity factor risks 普通股因素风险的产品网络和来源
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-26 DOI: 10.1016/j.pacfin.2024.102510
{"title":"Product network and origin of common equity factor risks","authors":"","doi":"10.1016/j.pacfin.2024.102510","DOIUrl":"10.1016/j.pacfin.2024.102510","url":null,"abstract":"<div><p>This paper extends the multisector asset pricing model based on production networks, achieving direct pricing of a firm’s equity assets at a more microscopic level within the product network. An Equilibrium-Aligned PageRank (EA-PR) centrality algorithm is proposed, and it is theoretically proven that EA-PR centrality can reflect the relative value of products and further derive the value of firms. A new equity asset pricing factor is constructed based on the EA-PR centrality of firms. The key findings can be summarized as follows: Firstly, the EA-PR centrality of firms shows a significant positive linear predictability for equity returns, and the returns associated with the EA-PR centrality factor cannot be fully explained by the Fama–French 6 (FF6) factors. Secondly, the EA-PR centrality factor demonstrates significant explanatory power for the FF6 factors and, to some extent, exhibits predictive ability for future returns of the FF6 factors. Thirdly, the product network model can effectively reflect the market competitiveness and growth potential of firms, and firms with high EA-PR centrality have stronger value capture capabilities, improving gross profit margin, cash flow, and investment growth in the future. Finally, this study empirically demonstrates the consistency between the product network model and the pricing theory of the <span><math><msup><mrow><mi>q</mi></mrow><mrow><mn>5</mn></mrow></msup></math></span> model, which incorporates the expected growth factor.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142098105","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
Managerial macroeconomic perception and systemic risk in China 中国管理者的宏观经济观念与系统性风险
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-26 DOI: 10.1016/j.pacfin.2024.102505
{"title":"Managerial macroeconomic perception and systemic risk in China","authors":"","doi":"10.1016/j.pacfin.2024.102505","DOIUrl":"10.1016/j.pacfin.2024.102505","url":null,"abstract":"<div><p>This paper constructs a managerial macroeconomic perception index based on the textual financial disclosures and examines its impact on systemic risk in China. We reveal a significant positive relationship between managerial macroeconomic perception, particularly the forward-looking managerial macroeconomic perception, and bank systemic risk. Our study shows that managers with optimistic perception about macroeconomic conditions tend to engage in excessive risk-taking activities and increase the risk contagion among banks. Heterogeneous analyses suggest that the positive relationship between manager macroeconomic perception and systemic risk is more pronounced among banks that are non-state-owned, exclusively listed in A-shares, highly leveraged, or not considered systemically important. We also show that macroeconomic policy can mitigate the negative impact of managerial macroeconomic perception on systemic risk. These findings highlight the substantial role that managerial macroeconomic perception plays in shaping systemic risk within the banking sector.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142157944","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
A four-factor model based on factor momentum 基于因子动量的四因子模型
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-26 DOI: 10.1016/j.pacfin.2024.102511
{"title":"A four-factor model based on factor momentum","authors":"","doi":"10.1016/j.pacfin.2024.102511","DOIUrl":"10.1016/j.pacfin.2024.102511","url":null,"abstract":"<div><p>By focusing on the momentum effect in China, we introduce a novel four-factor model grounded by factor momentum. We address this by progressively exploring three key questions. Firstly, we identify a significant momentum premium. In contrast to the US, where momentum forms over a period of 2–12 months, the formation period for momentum in China spans 7–12 months. Moreover, among various momentum factors, factor momentum stands out as the most significant, effectively explaining stock momentum, industry momentum, and regional momentum, whereas the reverse is not true. Secondly, we find that there exists a notable orthogonality between factor momentum and non-momentum factors in China, implying that factor momentum can hardly be explained by non-factor momentum, and vice versa. Thirdly, leveraging this orthogonality, we establish a four-factor model. Expanding upon the MKT and SMB factors, the model additionally includes a mispricing factor and a momentum factor. GRS tests demonstrate that this model outperforms traditional Fama-French three-factor model, Carhart four-factor model, Q-4 factor model, and the three-factor model proposed by Liu et al. (2019).</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142097998","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 conjoint effects of corporate social responsibility performance and report tone on financial constraints: Evidence from China 企业社会责任绩效和报告基调对财务约束的联合效应：来自中国的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-25 DOI: 10.1016/j.pacfin.2024.102506
{"title":"The conjoint effects of corporate social responsibility performance and report tone on financial constraints: Evidence from China","authors":"","doi":"10.1016/j.pacfin.2024.102506","DOIUrl":"10.1016/j.pacfin.2024.102506","url":null,"abstract":"<div><p>Using corporate social responsibility (CSR) disclosure data from Chinese A-share listed firms between 2008 and 2022, we examine the conjoint impact of CSR performance and the tone of CSR reports on financial constraints. The research reveals a significant negative correlation between CSR performance and financial constraints, indicating that the better a firm's CSR performance, the fewer financial constraints it faces. The tone of CSR reports is also negatively correlated with financial constraints. It has a synergy effect with CSR performance, enhancing the alleviating effect of CSR performance on financial constraints. After conducting a series of robustness tests, such as addressing endogeneity and substituting variables, the main results remain robust. Furthermore, relative importance analysis shows that the impact of CSR performance on financial constraints is significantly greater than the impact of the tone of CSR reports. In additional analysis, we also examine the effects of corporate disclosure of creditor protection information, the presence of deficiencies in information, and firm transparency. Against the backdrop of heightened economic volatility and escalating risks, our findings offer valuable guidance on how firms can strategically utilize social responsibility measures to mitigate financial constraints.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142122618","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
Public's evaluation of ESG and credit default swap: Evidence from East Asian countries 公众对环境、社会和公司治理以及信用违约掉期的评价：东亚国家的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-25 DOI: 10.1016/j.pacfin.2024.102512
{"title":"Public's evaluation of ESG and credit default swap: Evidence from East Asian countries","authors":"","doi":"10.1016/j.pacfin.2024.102512","DOIUrl":"10.1016/j.pacfin.2024.102512","url":null,"abstract":"<div><p>We investigate whether investors' sentiment on environmental, social, and governance (ESG) factors negatively affects a firm's spread for credit default swaps (CDS) in East Asian countries. We use the Kyoto Protocol as an exogenous shock to public sentiment on ESG and observe that it strengthens the negative influence of that sentiment on CDS spreads. Furthermore, we find consistent results on the discrepancy in CDS spreads between firms and their respective countries, as well as the term structure of the spreads. Our findings demonstrate that the public's perception of ESG can reduce investors' concerns about firms' credit risk.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142128935","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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