俄乌冲突和美国股市的外国股票

IF 5.7 Q1 BUSINESS, FINANCE
Danjue Clancey-Shang, Chengbo Fu
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引用次数: 4

摘要

目的研究在俄乌冲突的影响下,美国股票市场上的外国公司和国内公司之间的市场质量差异。设计/方法/方法采用事件研究方法,作者比较了外国公司和国内公司在战争爆发前后三天窗口内的市场反应。此外,通过差异中差异(DID)分析,作者研究了与国内同行相比,外国公司在此次疫情中市场质量的变化。最后,笔者从企业特征和母国特征两方面对外资企业进行了比较。研究结果作者发现,在美国上市的外国股票比国内股票经历了更严重的市场质量恶化。对于那些来自被认为对俄罗斯更友好的国家的公司,以及那些没有交叉上市的公司来说,这种影响尤其强烈。这一发现与市场质量的信息不对称假说是一致的。此外,美国市场投资者更担心战争时期非美国结盟国家的政治风险。研究局限/启示作者的研究结果与市场质量的信息不对称假说是一致的。此外,美国市场投资者更担心战争期间不结盟国家的政治立场所带来的政治风险。现实意义由于中美两国都在欧洲,美国股市在一定程度上成为了欧洲和其他国家资本的避风港。与此同时,美国存托凭证(adr)对于美国投资者创建全球多元化投资组合非常重要,有关adr易受国际地缘政治事件影响的知识也很有价值。作者的结果为股票市场投资者了解国际和国内公司在这个极不确定的时期的市场动态提供了信息。原创性/价值这是第一个研究在俄罗斯-乌克兰冲突的影响下,美国股票市场上的外国公司和国内公司之间的市场质量差异。作者提供了与重大政治不确定性相关的adr市场质量变化的新证据。作者表明,相对于其他方面可比较的国内公司,adr的市场质量更容易受到国际地缘政治风险的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Russia–Ukraine conflict and foreign stocks on the US market
PurposeThe authors investigate how market quality diverges between foreign firms and domestic firms on the US stock market in response to the Russia–Ukraine conflict.Design/methodology/approachWith an event study approach, the authors compare foreign firms with domestic firms in their market responses over the three-day window around the outbreak of the war. Further, with Difference-in-Difference (DID) analyses, the authors study the change in foreign firms' market quality upon this outbreak in comparison with their domestic counterparts. Finally, the authors compare the foreign firms across firm specific characteristics and home country characteristics.FindingsThe authors find that foreign stocks listed in the US experience more severe market quality deterioration compared to the stocks' domestic counterparts. This effect is especially strong for companies from countries considered friendlier towards Russia and companies that are not cross-listed. The authors' findings are consistent with the information asymmetry hypothesis concerning market quality. Moreover, US market investors have more concerns over political risks with non-US-aligned political standings during war times.Research limitations/implicationsThe authors' findings are consistent with the information asymmetry hypothesis concerning market quality. Moreover, US market investors have more concerns over political risks over non-US-aligned political standings during war time.Practical implicationsSince both countries in the conflict are in Europe, the US stock market, to a certain degree, becomes a safe haven for capital from Europe and other countries. In the meantime, American Depository Receipts (ADRs) have been important for US investors to create a globally diversified portfolio, and the knowledge regarding ADRs' vulnerability to international geopolitical events is valuable. The author' results are informative for stock market investors to understand the market dynamics for international and domestic companies during this extremely uncertain time.Originality/valueThis is the first study that examines the market quality divergence between foreign firms and domestic firms on the US stock market in response to the Russia–Ukraine conflict. The authors provide novel evidence on the change in ADRs' market quality associated with significant political uncertainty. The authors show that ADRs' market quality is more vulnerable to international geopolitical risks relative to otherwise comparable domestic firms.
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来源期刊
Journal of Risk Finance
Journal of Risk Finance BUSINESS, FINANCE-
CiteScore
6.20
自引率
6.70%
发文量
37
期刊介绍: The Journal of Risk Finance provides a rigorous forum for the publication of high quality peer-reviewed theoretical and empirical research articles, by both academic and industry experts, related to financial risks and risk management. Articles, including review articles, empirical and conceptual, which display thoughtful, accurate research and be rigorous in all regards, are most welcome on the following topics: -Securitization; derivatives and structured financial products -Financial risk management -Regulation of risk management -Risk and corporate governance -Liability management -Systemic risk -Cryptocurrency and risk management -Credit arbitrage methods -Corporate social responsibility and risk management -Enterprise risk management -FinTech and risk -Insurtech -Regtech -Blockchain and risk -Climate change and risk
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