{"title":"Heterogeneous information transmission between climate policy uncertainty and Chinese new energy markets: A quantile-on-quantile transfer entropy method","authors":"Yinhong Yao, Zhuoqi Feng, Xueyong Liu","doi":"10.1016/j.irfa.2025.104175","DOIUrl":"10.1016/j.irfa.2025.104175","url":null,"abstract":"<div><div>This paper proposes a novel quantile-on-quantile transfer entropy (QQTE) method to quantify the heterogeneous nonlinear information transmission between climate policy uncertainty (CPU) and Chinese new energy markets under different conditions. Based on the daily data of CPU and three new energy stock indexes from January 4, 2005 to December 29, 2023, the bidirectional, asymmetric and dynamic characteristics of the nonlinear information transmission are observed. First, stronger intensity of information is transmitted from CPU to new energy markets. Second, the information transmission under normal conditions is lower than that resulting from extreme events, especially regarding the impact of CPU on wind and solar markets when CPU experiences extreme negative fluctuations. In addition, the dynamic characteristics are verified using the rolling-window technique, and we find that the direction and strength of the information transmission are usually associated with policy fluctuations, such as the United Nations Climate Change conference, and external shocks, such as the financial crisis. For comparison, the strength of bidirectional transfer information between CPU and traditional energy markets is relatively larger with the occurrences of extreme shocks and is stable under the normal conditions. These results are crucial for understanding the complex interaction within the policy-energy system.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104175"},"PeriodicalIF":7.5,"publicationDate":"2025-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143767521","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Heterogeneous shareholder participation and corporate maturity mismatch: Evidence from China","authors":"Gaoya Song , Yu Wang","doi":"10.1016/j.irfa.2025.104221","DOIUrl":"10.1016/j.irfa.2025.104221","url":null,"abstract":"<div><div>This study investigates the relationship between heterogeneous shareholder participation and corporate maturity mismatch of investment and financing in China from 2009 to 2022. Using a hand-collected database, we find that heterogeneous shareholder participation can reduce corporate maturity mismatch. Mechanism tests show that the participation of non-state-owned shareholders and state-owned shareholders can produce “supervision incentive” and “resource support” effects, respectively. These effects alleviate type I and type II agency costs of state-owned enterprises and increase government subsidies for non-state-owned enterprises, thereby reducing maturity mismatch. Furthermore, the negative relationship between heterogeneous shareholder participation and corporate maturity mismatch is more pronounced among companies in high-tech industries and among firms with higher internal control quality. This paper expands the research in the field of equity structure, constructs a theoretical analysis framework for two-way mixed ownership reform, and provides new ideas and evidence for improving corporate maturity mismatch.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104221"},"PeriodicalIF":7.5,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Enterprise digitalization and bank-enterprise ESG consistency: Evidence from China","authors":"Guoying Deng, Xu Fu, Jin Zou, Jingzhou Yan","doi":"10.1016/j.irfa.2025.104196","DOIUrl":"10.1016/j.irfa.2025.104196","url":null,"abstract":"<div><div>As digitalization and sustainability become central to global economic strategies, understanding their intersection is critical for facilitating a low-carbon transition. This paper examines the impact of enterprise digitalization on bank-enterprise ESG consistency within China’s bank-led financial system, an underexplored context in the existing literature. Utilizing loan data from listed companies and banks between 2008 and 2022, we uncover a significant ‘U-shaped’ relationship: initial digitalization enhances ESG alignment by improving transparency and reducing information asymmetry, but excessive digitalization overwhelms banks’ technological and risk assessment capacities, leading to increased financing constraints that undermine ESG consistency. Additionally, the impact of digitalization on ESG consistency varies across enterprises: greater access to credit tends to enhance its positive effects, while wider digital divides tend to diminish them. These findings underscore the need for a balanced approach to digitalization, ensuring that technological advancements align with ESG goals to effectively support sustainable development.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104196"},"PeriodicalIF":7.5,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143748157","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Javier Patricio Cadena-Silva , José Ángel Sanz Lara , José Miguel Rodríguez Fernández
{"title":"Stock market volatility and oil shocks: A study of G7 economies","authors":"Javier Patricio Cadena-Silva , José Ángel Sanz Lara , José Miguel Rodríguez Fernández","doi":"10.1016/j.irfa.2025.104218","DOIUrl":"10.1016/j.irfa.2025.104218","url":null,"abstract":"<div><div>Oil shocks have caused economic recessions over the years, affecting various markets, especially the stock market. The objective of this study is to analyze how global oil price index variable and shocks related to supply, economic activity, demand, and inventory affect the volatility and dynamics of G7 countries' stock market indices in the context of the 2014 oil shock. Using monthly data from January 2003 to September 2023, a combined methodology of Vector AutoRegressive (VAR) and Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) models was applied to capture mean and conditional volatility dynamics, complemented with exponential GARCH (EGARCH) models to detect asymmetries. The results indicate that oil shocks have a significant impact on stock index volatility, with Canada, Japan and the UK showing high sensitivity, especially during and after the 2014 oil shock. Negative shocks affect volatility more than positive ones. Therefore, economic policies to mitigate extreme volatility and reduce economic uncertainty are necessary. Moreover, for oil-dependent economies, such as Canada, their vulnerability to oil price fluctuations needs to be reduced. This study provides a comprehensive understanding of the influence of oil shocks on the volatility and dynamics of G7 stock markets, offering valuable implications for policymaking and future research.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104218"},"PeriodicalIF":7.5,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783578","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"What determines Bitcoin's price over the past decade?","authors":"Muying Chen , Xinyu Zhang , Yunjie Wei , Shouyang Wang","doi":"10.1016/j.irfa.2025.104174","DOIUrl":"10.1016/j.irfa.2025.104174","url":null,"abstract":"<div><div>We employ a novel three-stage analysis method of ICEEMDAN-Van der Waerden Test-Elastic Net to analyze Bitcoin's price. Our research aims to explain how Bitcoin's price has been formed at different phases of development over the past decade. We have segmented the daily closing price of Bitcoin from November 1, 2013, to December 31, 2023, into five phases, utilizing the ICEEMDAN method to decompose them into intrinsic mode functions, followed by the reconstruction of high-frequency, low-frequency, and trend curves using the Van der Waerden Test. With Elastic Net, we identify the top ten factors impacting the high-frequency, low-frequency, and trend curves during each phase. Our findings reveal a strong correlation between the high-frequency curve, investor sentiment, and daily transaction frequency in the Bitcoin market. The significant rises and falls in the low-frequency curve correspond to important events in the Bitcoin market or global political and economic occurrences. The trend curve is decisive in determining the long-term trajectory of Bitcoin's price. Over the long term, our analysis indicates that Bitcoin's price is influenced predominantly by macroeconomic fundamentals and market vitality. Bitcoin's price is evolving, shifting from focusing on its internal production factors to relying more on external macroeconomic factors. Of the major asset classes, Bitcoin's correlation with stocks has grown the most significantly. Due to Bitcoin's increasing market vitality and the decrease in Bitcoin's issuance speed changing the supply-demand dynamics, Bitcoin's price is on an upward trajectory in the long term. Furthermore, our findings provide insights into Bitcoin's speculative and safe-haven properties. Our work also facilitates more accurate predictions of Bitcoin's future prices.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104174"},"PeriodicalIF":7.5,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143767519","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Carlos Andres Zapata Quimbayo , Diego Felipe Carmona Espejo , Jhonatan Gamboa Hidalgo
{"title":"Robust Bayesian portfolio optimization","authors":"Carlos Andres Zapata Quimbayo , Diego Felipe Carmona Espejo , Jhonatan Gamboa Hidalgo","doi":"10.1016/j.irfa.2025.104215","DOIUrl":"10.1016/j.irfa.2025.104215","url":null,"abstract":"<div><div>We propose a robust Bayesian model using the normal-inverse-Wishart and Gamma distributions for an investment portfolio consisting of the stocks of the United States Dow Jones Industrial Index. To this end, the Bayesian approach and the robust portfolio model are integrated to determine the uncertainty of the estimated parameters in expected returns and covariances using ellipsoidal or quadratic type uncertainty sets. The results show that the proposed method exhibits better performance and diversification than the traditional mean-variance model as well as the robust portfolios.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104215"},"PeriodicalIF":7.5,"publicationDate":"2025-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143767523","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Does local government debt replacement affect macroeconomics? Evidence from China","authors":"Yan Wang , Xiao Wang , Xinyi Zheng","doi":"10.1016/j.irfa.2025.104208","DOIUrl":"10.1016/j.irfa.2025.104208","url":null,"abstract":"<div><div>Utilizing the quasi-natural experiment of local debt replacement from 2015 to 2019, this paper employs the intensity difference-in-difference method to investigate the impact of debt replacement on macroeconomics. The findings reveal that local debt replacement significantly increased fixed asset investment, increased industrial output, and reduced financial sector growth, demonstrating its importance in optimizing macroeconomic resource allocation. Simultaneously, local debt replacement improved commercial banks' liquidity risks, slowed stock trading growth, and reduced insurance density, indicating a financial sector constraining effect. Furthermore, local debt replacement significantly stimulated real estate markets by increasing capital availability, increasing newly started construction areas, and accelerating commercial housing sales. Consequently, the fiscal policy space created by such initiatives should be strategically utilized to prioritize investments in major technological advancements, industrial structure optimization, and high-quality development. Second, policymakers must monitor the potential disruptions to financial institutions' operations caused by significant policy changes and promote fiscal–monetary policy synergies. Finally, the stimulative effects of local debt replacement on the real estate sector must be carefully managed to avoid countercyclical policies that unintentionally amplify procyclical distortions.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104208"},"PeriodicalIF":7.5,"publicationDate":"2025-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143776800","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Asymmetric impacts of energy market-related uncertainty on clean energy stock volatility: The role of extreme shocks","authors":"Yanchen Liu , Siyu Yi , Sitong Li , Gengxuan Chen","doi":"10.1016/j.irfa.2025.104206","DOIUrl":"10.1016/j.irfa.2025.104206","url":null,"abstract":"<div><div>Amid escalating uncertainties in the global energy transition and markets, clean energy stock volatility has become a critical concern for investors and policy-makers. This study applies two extended GARCH-MIDAS frameworks to analyse the effects of energy market-related uncertainty indicators—the global energy-related uncertainty index (GEUI), the oil price uncertainty index (OPU), and the crude oil volatility index (OVX)—on clean energy stock volatility. The results show that the GEUI exerts the most substantial influence, with the OPU and OVX having comparatively smaller effects. Further analysis reveals that positive extreme uncertainty shocks exert a stronger influence on stock market volatility than negative shocks, highlighting the heightened sensitivity of markets during periods of increasing uncertainty. Additionally, a leverage effect is observed, where past negative volatility has a greater influence on current volatility than positive events do. These findings offer empirical guidance for risk management and valuable insights for policy-makers addressing frequent uncertainty shocks in the clean energy sector.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104206"},"PeriodicalIF":7.5,"publicationDate":"2025-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783577","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The disciplinary impact of capital market internationalization on corporate ESG greenwashing: A study of A-shares' inclusion in the MSCI index","authors":"Lulu Tian , Xinyang Song , Meng Du , Baochang Xu","doi":"10.1016/j.irfa.2025.104202","DOIUrl":"10.1016/j.irfa.2025.104202","url":null,"abstract":"<div><div>In the context of high-quality global development, ESG principles have become crucial for enhancing corporate competitiveness and fulfilling social responsibility. However, the prevalence of greenwashing has not only weakened market trust in ESG practices but also raised concerns about corporate ethical responsibility. This study investigated whether the capital market internationalization could impose a disciplinary effect on corporate ESG greenwashing, using the inclusion of China's A-shares in the MSCI Emerging Markets Index in 2018 as an exogenous event and applying a multi-period difference-in-differences model. The findings indicated that capital market internationalization significantly reduced ESG greenwashing, particularly in the dimensions of environmental and corporate governance. Mechanistic analysis revealed that internationalization alleviated financing constraints and strengthened external oversight, prompting firms to adopt higher ethical standards and improve transparency in information disclosure. The heterogeneity analysis further demonstrated that this disciplinary effect was more pronounced for non-high‑carbon firms, companies with institutional investors, firms audited by Big Four accounting firms, and businesses located in more open regions. This study offers valuable insights into how capital market internationalization fosters ethical corporate behavior and mitigates ESG greenwashing.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104202"},"PeriodicalIF":7.5,"publicationDate":"2025-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143776798","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Tax neutrality and digital transformation of private enterprises: From the perspective of human capital structure adjustment","authors":"Jiezheng Zhou , Xuexin Liu , Zhe Wang","doi":"10.1016/j.irfa.2025.104200","DOIUrl":"10.1016/j.irfa.2025.104200","url":null,"abstract":"<div><div>Private firms are increasingly adopting digital transformation as a critical future development trend. Examining the factors that promote business digital transformation through the lens of policy instruments is crucial. Using data from A-share nonfinancial private listed companies from 2007 to 2021, this study empirically examines the impact of tax neutrality on the digital transformation of private organizations and its mechanism. Tax neutrality has been shown to significantly improve the digital transformation of private businesses, even after accounting for endogeneity and under numerous robustness tests. Tax neutrality aids private firms' digital transformation by improving human capital structure, boosting employee education, and increasing the number of nonroutine, highly trained personnel. It also has a greater impact on promoting the digital transformation of private enterprises in regions with higher levels of marketization, fiercer industry competition, and more severe financing constraints. Furthermore, this study demonstrates an interacting relationship between tax neutrality and government subsidies. The findings build on prior research on the factors influencing digital transformation in private enterprises. They also confirm the positive impact of tax neutrality and contribute to studying how tax policies affect private enterprises' microeconomic behavior.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104200"},"PeriodicalIF":7.5,"publicationDate":"2025-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143760662","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}