Pub Date : 2023-10-12DOI: 10.1080/1540496x.2023.2259058
Joseph J. French, Philipp D. Schaberl, Rodrigo Taborda
ABSTRACTWe investigate the relationships among economic policy uncertainty (EPU), equity fund flows (EFF), and the Colombian stock market. Results show adverse impacts of domestic, global, and regional EPUs on Colombia’s stock returns and EFF. Global and regional EPUs transmit to Colombian EPU which makes the market vulnerable to uncertainty shocks. A global EPU shock reduces returns by 2.2% the following month, raises Colombian EPU by 12%, and reduces EFF by 0.24%. Furthermore, heightened EPU increases liquidity and reduces stock returns. Our results suggest a feedback loop where uncertainty shocks increase trading, fuel domestic uncertainty, and reduce equity prices.KEYWORDS: Capital flowsEPUfund flowsspilloversuncertaintyJEL: F21F39G11 AcknowledgmentsWe want to thank Sebastian Mertl from Sparkasse OÖ Kapitalanlagegesellschaft m.b.H. for help with obtaining data. Joseph J. French would like to acknowledge that this research was developed (in part) under grants from the U.S. Department of Education through its Centers for International Business Education and Research at University of Colorado Denver and Brigham Young University. This research does not necessarily represent the policies of the U.S. Department of Education.Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1. We fail to find a significant effect of Mexican EPU on EFF in Colombia.2. For a detailed literature review, please see Al-Thaqeb and Algharabali (Citation2019).3. We note that the coefficient for the capital control dummy in the EFF equation is negative as expected. Results are available on request.4. Data are based on a large sample of reporting funds. More than 18,000 reporting equity funds cover around 96% of the assets under management of the global investment fund industry (as of September 2019, Informa Financial Intelligence Citation2020a).5. The results are available on request.6. Granger causality tests are also performed for an alternative measure of liquidity, namely volume. The results are like those for MVTN and are available on request.7. We use a GEPU with purchase power parity weightings. The results are very similar with current weights and are available on request.8. All models were re-estimated using standard VAR methods and results were like those using Bayesian inference methods. These results are available upon request.
{"title":"Fund Flows, Stock Markets, and Economic Policy Uncertainty: From the Perspective a CIVET Nation","authors":"Joseph J. French, Philipp D. Schaberl, Rodrigo Taborda","doi":"10.1080/1540496x.2023.2259058","DOIUrl":"https://doi.org/10.1080/1540496x.2023.2259058","url":null,"abstract":"ABSTRACTWe investigate the relationships among economic policy uncertainty (EPU), equity fund flows (EFF), and the Colombian stock market. Results show adverse impacts of domestic, global, and regional EPUs on Colombia’s stock returns and EFF. Global and regional EPUs transmit to Colombian EPU which makes the market vulnerable to uncertainty shocks. A global EPU shock reduces returns by 2.2% the following month, raises Colombian EPU by 12%, and reduces EFF by 0.24%. Furthermore, heightened EPU increases liquidity and reduces stock returns. Our results suggest a feedback loop where uncertainty shocks increase trading, fuel domestic uncertainty, and reduce equity prices.KEYWORDS: Capital flowsEPUfund flowsspilloversuncertaintyJEL: F21F39G11 AcknowledgmentsWe want to thank Sebastian Mertl from Sparkasse OÖ Kapitalanlagegesellschaft m.b.H. for help with obtaining data. Joseph J. French would like to acknowledge that this research was developed (in part) under grants from the U.S. Department of Education through its Centers for International Business Education and Research at University of Colorado Denver and Brigham Young University. This research does not necessarily represent the policies of the U.S. Department of Education.Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1. We fail to find a significant effect of Mexican EPU on EFF in Colombia.2. For a detailed literature review, please see Al-Thaqeb and Algharabali (Citation2019).3. We note that the coefficient for the capital control dummy in the EFF equation is negative as expected. Results are available on request.4. Data are based on a large sample of reporting funds. More than 18,000 reporting equity funds cover around 96% of the assets under management of the global investment fund industry (as of September 2019, Informa Financial Intelligence Citation2020a).5. The results are available on request.6. Granger causality tests are also performed for an alternative measure of liquidity, namely volume. The results are like those for MVTN and are available on request.7. We use a GEPU with purchase power parity weightings. The results are very similar with current weights and are available on request.8. All models were re-estimated using standard VAR methods and results were like those using Bayesian inference methods. These results are available upon request.","PeriodicalId":11693,"journal":{"name":"Emerging Markets Finance and Trade","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136013326","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}
Pub Date : 2023-10-12DOI: 10.1080/1540496x.2023.2266110
Fulei Yan, Beibei Chen, Yuxin Yang
ABSTRACTExploring effective tools to control the rampant expansion of the informal economy is critical to achieving the Sustainable Development Goals (SDGs). Based on balanced panel data for 19 selected Latin American and Caribbean countries for the period 2008–2017, this study employs fixed-effects estimation, limited information maximum likelihood estimation, and system generalized method of moments estimation to investigate the direct and indirect effects of information and communication technologies (ICT) diffusion on the size of the informal economy. The findings suggest that ICT diffusion can significantly reduce the size of the informal economy in LAC. Moreover, the dampening effect of ICT on the informal economy is more significant in countries with lower levels of financial inclusion. Accordingly, we recommend strengthening ICT sector development to enhance financial deepening and government efficiency and thus reduce informality in LAC.KEYWORDS: Financial inclusionICT diffusioninformal economyLatin America and the caribbeanJEL: C33E26O17O30 AcknowledgmentsThe authors thank the editors and anonymous reviewers for their helpful comments and suggestions. All remaining errors are ours.Disclosure StatementNo potential conflict of interest was reported by the author(s).Data StatementThe data that support the findings of this study are available from the corresponding author upon reasonable request.Notes1. https://www.heritage.org/index/.2. Since the coefficient of the variable FBB is not significant in column (1), only variables MOB and INTE are used as explanatory variables in the subsample regression.Additional informationFundingThis work was supported by a project of the Department of International Cooperation and Exchanges, Ministry of Education of the People’s Republic of China. Project Title:Research on High-Quality Development of Digital Economy Cooperation between China and Latin America in the Post-COVID-19 Era. Project [No. 2022-N49].
{"title":"ICT, Financial Inclusion and the Informal Economy: Evidence from Selected Latin American and Caribbean Countries","authors":"Fulei Yan, Beibei Chen, Yuxin Yang","doi":"10.1080/1540496x.2023.2266110","DOIUrl":"https://doi.org/10.1080/1540496x.2023.2266110","url":null,"abstract":"ABSTRACTExploring effective tools to control the rampant expansion of the informal economy is critical to achieving the Sustainable Development Goals (SDGs). Based on balanced panel data for 19 selected Latin American and Caribbean countries for the period 2008–2017, this study employs fixed-effects estimation, limited information maximum likelihood estimation, and system generalized method of moments estimation to investigate the direct and indirect effects of information and communication technologies (ICT) diffusion on the size of the informal economy. The findings suggest that ICT diffusion can significantly reduce the size of the informal economy in LAC. Moreover, the dampening effect of ICT on the informal economy is more significant in countries with lower levels of financial inclusion. Accordingly, we recommend strengthening ICT sector development to enhance financial deepening and government efficiency and thus reduce informality in LAC.KEYWORDS: Financial inclusionICT diffusioninformal economyLatin America and the caribbeanJEL: C33E26O17O30 AcknowledgmentsThe authors thank the editors and anonymous reviewers for their helpful comments and suggestions. All remaining errors are ours.Disclosure StatementNo potential conflict of interest was reported by the author(s).Data StatementThe data that support the findings of this study are available from the corresponding author upon reasonable request.Notes1. https://www.heritage.org/index/.2. Since the coefficient of the variable FBB is not significant in column (1), only variables MOB and INTE are used as explanatory variables in the subsample regression.Additional informationFundingThis work was supported by a project of the Department of International Cooperation and Exchanges, Ministry of Education of the People’s Republic of China. Project Title:Research on High-Quality Development of Digital Economy Cooperation between China and Latin America in the Post-COVID-19 Era. Project [No. 2022-N49].","PeriodicalId":11693,"journal":{"name":"Emerging Markets Finance and Trade","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136014087","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}
Pub Date : 2023-10-12DOI: 10.1080/1540496x.2023.2253975
Yonggen Luo, Na Tian, Deli Wang, Wenqi Han
ABSTRACTWe examine the impact of digital transformation on a firm’s ESG performance using data from listed firms in China. Leveraging the recent advances in textual analysis, we quantify the extent of a firm’s digital transformation. The results show that digital transformation enhances a firm’s ESG performance. Moreover, results remain robust after addressing endogeneity problems and several robustness tests. In addition, we validate potential mechanisms that the digital transformation mainly improves the ESG performance of firms by improving the level of environmental performance, corporate social responsibility, and corporate governance. To examine the economic consequence, we find that digital transformation gains more government subsidies and analysts’ attention increasing the management’s positive tone at the earnings communication conferences by improving the firm’s ESG performance. Heterogeneity analysis suggests that the effect of digital transformation on ESG performance is stronger for firms in severely polluting industries and executives with information technology experience.KEYWORDS: Digital transformationESG performancegreen innovationJEL CLASSIFICATION: G20G30 Disclosure StatementNo potential conflict of interest was reported by the author(s).Author ContributionsConceptualisation, Y.L.; Formal analysis, resources, data curation, N.T.; Writing – original draft preparation, D.W.; Revising and writing, W.H. All authors have read and agreed to the published version of the manuscript.Notes1. The 17 universities include Peking University, Tsinghua University, Beijing Normal University, Nankai University, Jilin University, Fudan University, Shanghai Jiao Tong University, Nanjing University, University of Science and Technology of China, Zhejiang University, Xiamen University, Shandong University, Wuhan University, Sun Yat-sen University, Sichuan University, Xi’an Jiaotong University, and Lanzhou University.2. CASVI, the China Alliance of Social Value Investment, is China’s first international nonprofit platform dedicated to promoting sustainable finance. It was initiated in September 2016 by the Yucheng Entrepreneur Rural Development Foundation, the Chinese Society for Social Governance Research, the China Investment Association, Jifu Investment, and the Tsinghua University Meide Public Welfare Research Institute, with the joint establishment of nearly 50 institutions. CASVI’s evaluation system implements a “pre-screening then scoring” mechanism, composed of a “screening sub-model” and a “scoring sub-model.” The “screening sub-model” is a negative list for social value assessment, which judges the evaluation target based on 5 aspects (industry problems, financial problems, significant negative events, violations of laws and regulations, special treatment) and 17 indicators in a binary manner. If the evaluation target meets any indicators, it is deemed ineligible and cannot proceed to the next step of quantitative scoring. Once the “scree
{"title":"Does Digital Transformation Enhance Firm’s ESG Performance? Evidence from an Emerging Market","authors":"Yonggen Luo, Na Tian, Deli Wang, Wenqi Han","doi":"10.1080/1540496x.2023.2253975","DOIUrl":"https://doi.org/10.1080/1540496x.2023.2253975","url":null,"abstract":"ABSTRACTWe examine the impact of digital transformation on a firm’s ESG performance using data from listed firms in China. Leveraging the recent advances in textual analysis, we quantify the extent of a firm’s digital transformation. The results show that digital transformation enhances a firm’s ESG performance. Moreover, results remain robust after addressing endogeneity problems and several robustness tests. In addition, we validate potential mechanisms that the digital transformation mainly improves the ESG performance of firms by improving the level of environmental performance, corporate social responsibility, and corporate governance. To examine the economic consequence, we find that digital transformation gains more government subsidies and analysts’ attention increasing the management’s positive tone at the earnings communication conferences by improving the firm’s ESG performance. Heterogeneity analysis suggests that the effect of digital transformation on ESG performance is stronger for firms in severely polluting industries and executives with information technology experience.KEYWORDS: Digital transformationESG performancegreen innovationJEL CLASSIFICATION: G20G30 Disclosure StatementNo potential conflict of interest was reported by the author(s).Author ContributionsConceptualisation, Y.L.; Formal analysis, resources, data curation, N.T.; Writing – original draft preparation, D.W.; Revising and writing, W.H. All authors have read and agreed to the published version of the manuscript.Notes1. The 17 universities include Peking University, Tsinghua University, Beijing Normal University, Nankai University, Jilin University, Fudan University, Shanghai Jiao Tong University, Nanjing University, University of Science and Technology of China, Zhejiang University, Xiamen University, Shandong University, Wuhan University, Sun Yat-sen University, Sichuan University, Xi’an Jiaotong University, and Lanzhou University.2. CASVI, the China Alliance of Social Value Investment, is China’s first international nonprofit platform dedicated to promoting sustainable finance. It was initiated in September 2016 by the Yucheng Entrepreneur Rural Development Foundation, the Chinese Society for Social Governance Research, the China Investment Association, Jifu Investment, and the Tsinghua University Meide Public Welfare Research Institute, with the joint establishment of nearly 50 institutions. CASVI’s evaluation system implements a “pre-screening then scoring” mechanism, composed of a “screening sub-model” and a “scoring sub-model.” The “screening sub-model” is a negative list for social value assessment, which judges the evaluation target based on 5 aspects (industry problems, financial problems, significant negative events, violations of laws and regulations, special treatment) and 17 indicators in a binary manner. If the evaluation target meets any indicators, it is deemed ineligible and cannot proceed to the next step of quantitative scoring. Once the “scree","PeriodicalId":11693,"journal":{"name":"Emerging Markets Finance and Trade","volume":"164 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135968083","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}
Pub Date : 2023-10-06DOI: 10.1080/1540496x.2023.2247140
Jianmin Liu, Shichen Wang, Yude Xu, Lingsha Cheng
ABSTRACTDigital economy development gives birth to new market norms and competition rules, which push digital transformation and further form the legitimacy isomorphism effect to decrease corporate bankruptcy risk. Using a sample of Chinese listed firms from 2011 to 2019, this study investigated how digital economy development influences corporate bankruptcy risk. We observe a negative relationship between digital economy development and bankruptcy risk. This negative relationship is more pronounced in firms when the degree of digital transformation, managerial incentive and internal supervision is expected to be high.Additionally, the risk effect of digital economy is more pronounced for firms with more media coverage, lower urban wealth, industry competition, and better government governance. Our study has implications for research on the microeconomic consequences of digital economy development and the factors influencing corporate bankruptcy risk, providing empirical evidence for bankruptcy risk management in the digital economy era.KEYWORDS: Digital economyinstitutional isomorphismbankruptcy riskisomorphic effectadaptive incentivesJEL: M10O18 Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1. Based on the New Institutionalism of Organizational Sociology, legitimacy is the extent to which organizational actions are accepted and recognized by different stakeholders, as well as the extent to which they are consistent with universal norms, rules, and beliefs.2. Normative isomorphism refers to following professional standards and practices established by the institutional environment. Mimetic isomorphism refers to imitating or copying their successful counterparts when the organization is not sure what to do. Coercive isomorphism refers to the pressure from the entities.3. To exert the effect of the new technology system, it is necessary to establish internal and external systems in line with the new rules of competition.4. Hangzhou city is the birthplace of digital finance in China. The global digital finance center is located in Hangzhou. Therefore, it is reasonable to expect that the closer the geographical distance to Hangzhou is, the higher the level of digital economy development will be.5. If total frequency is less than or equal to 1, the enterprise will not be regarded as a digitally transformed enterprise. Hence, we only retain the samples with total frequency greater than or equal to 2.6. The “terrain relief of the region is flatter” denotes that it is beneficial to the construction of information infrastructure such as information transmission and software industry.
{"title":"Digital Economy Development and Corporate Bankruptcy Risk: Based on the Perspective of Institutional Isomorphism","authors":"Jianmin Liu, Shichen Wang, Yude Xu, Lingsha Cheng","doi":"10.1080/1540496x.2023.2247140","DOIUrl":"https://doi.org/10.1080/1540496x.2023.2247140","url":null,"abstract":"ABSTRACTDigital economy development gives birth to new market norms and competition rules, which push digital transformation and further form the legitimacy isomorphism effect to decrease corporate bankruptcy risk. Using a sample of Chinese listed firms from 2011 to 2019, this study investigated how digital economy development influences corporate bankruptcy risk. We observe a negative relationship between digital economy development and bankruptcy risk. This negative relationship is more pronounced in firms when the degree of digital transformation, managerial incentive and internal supervision is expected to be high.Additionally, the risk effect of digital economy is more pronounced for firms with more media coverage, lower urban wealth, industry competition, and better government governance. Our study has implications for research on the microeconomic consequences of digital economy development and the factors influencing corporate bankruptcy risk, providing empirical evidence for bankruptcy risk management in the digital economy era.KEYWORDS: Digital economyinstitutional isomorphismbankruptcy riskisomorphic effectadaptive incentivesJEL: M10O18 Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1. Based on the New Institutionalism of Organizational Sociology, legitimacy is the extent to which organizational actions are accepted and recognized by different stakeholders, as well as the extent to which they are consistent with universal norms, rules, and beliefs.2. Normative isomorphism refers to following professional standards and practices established by the institutional environment. Mimetic isomorphism refers to imitating or copying their successful counterparts when the organization is not sure what to do. Coercive isomorphism refers to the pressure from the entities.3. To exert the effect of the new technology system, it is necessary to establish internal and external systems in line with the new rules of competition.4. Hangzhou city is the birthplace of digital finance in China. The global digital finance center is located in Hangzhou. Therefore, it is reasonable to expect that the closer the geographical distance to Hangzhou is, the higher the level of digital economy development will be.5. If total frequency is less than or equal to 1, the enterprise will not be regarded as a digitally transformed enterprise. Hence, we only retain the samples with total frequency greater than or equal to 2.6. The “terrain relief of the region is flatter” denotes that it is beneficial to the construction of information infrastructure such as information transmission and software industry.","PeriodicalId":11693,"journal":{"name":"Emerging Markets Finance and Trade","volume":"213 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135350437","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}
Pub Date : 2023-10-05DOI: 10.1080/1540496x.2023.2258260
Ying Lin, Quan-Jing Wang, Mei-Qi Zheng
ABSTRACTGreen development is an essential requirement for the high-quality development. In the context of the new round of technological revolution, the digital economy has injected new momentum into China’s high-quality economic development. This article aims to clarify the relationships among digital economy, green innovation, and green development using Westerlund and Edgerton (2007) cointegration test as well as pooled mean group (PMG) estimation and utilizing yearly data from 274 cities in China from 2011 to 2019. Overall, the results confirm the existence of cointegration relationships between green development and green innovation, between green development and digital economy, as well as between digital economy and green innovation, and support that digital economy and green innovation can affect the green development in the long-term positively. Additionally, while digital economy positively affects the green development in the short-run, green innovation cannot affect the green development. Furthermore, while the long-run positive impact of digital economy and green innovation on green development is generally established among eastern, central, and western regions, the short-run impact of such two factors on green innovation varies among different regions, seeing as both two variables exert no significant impact on green development in western region. Empirical findings offer important policy implications for the policymakers to attach more importance on the emerging economy model such as digital economy or green innovation, which can bring about long-term green development.KEYWORDS: Green developmentdigital economygreen innovationcross-section dependencecointegrationJEL: C01C32Q40 AcknowledgementWe would like to thank Professor Chun-Ping Chang, co-editor in chief of Emerging Markets Finance and Trade, as well as all anonymous reviewers for their comments and support in our revision.Disclosure StatementNo potential conflict of interest was reported by the author(s).Notes1. Due to the results for such 4 sub-samples are similar to that of full sample, these results are not reported to save the space, but are available upon request.Additional informationFundingYing Lin thanks financial support from the National Social Science Fund of China (No. 20CGL030) and the Humanities and Social Science Fund of Ministry of Education of China (No. 19YJC790075). The work was also supported by the Humanities and Social Science Fund of Ministry of Education of China [22YJC790130] and the National Natural Science Foundation of China [72204227].
摘要绿色发展是实现高质量发展的必然要求。在新一轮科技革命背景下，数字经济为中国经济高质量发展注入了新动能。本文旨在利用2011 - 2019年中国274个城市的年度数据，采用Westerlund and Edgerton(2007)协整检验和PMG估计，阐明数字经济、绿色创新和绿色发展之间的关系。总体而言，研究结果证实了绿色发展与绿色创新、绿色发展与数字经济、数字经济与绿色创新之间存在协整关系，支持了数字经济和绿色创新对绿色发展的长期正向影响。此外，虽然数字经济在短期内对绿色发展有积极影响，但绿色创新对绿色发展没有影响。此外，虽然数字经济和绿色创新对东部、中部和西部地区绿色发展的长期积极影响是普遍成立的，但这两个因素对绿色创新的短期影响在不同地区之间存在差异，这两个变量对西部地区的绿色发展没有显著影响。实证研究结果为政策制定者更加重视数字经济或绿色创新等新兴经济模式提供了重要的政策启示，这些模式能够带来长期的绿色发展。关键词:绿色发展数字经济绿色创新横截面依赖生态整合感谢《新兴市场金融与贸易》联合主编张春平教授以及所有匿名审稿人在我们的修订中提供的意见和支持。披露声明作者未报告潜在的利益冲突。由于这4个子样本的结果与全样本的结果相似，为了节省空间，不报告这些结果，但应要求提供。林颖感谢国家社会科学基金(No. 20CGL030)和教育部人文社会科学基金(No. 19YJC790075)的资助。教育部人文社会科学基金[22YJC790130]和国家自然科学基金[72204227]资助。
{"title":"Nexus Among Digital Economy, Green Innovation, and Green Development: Evidence from China","authors":"Ying Lin, Quan-Jing Wang, Mei-Qi Zheng","doi":"10.1080/1540496x.2023.2258260","DOIUrl":"https://doi.org/10.1080/1540496x.2023.2258260","url":null,"abstract":"ABSTRACTGreen development is an essential requirement for the high-quality development. In the context of the new round of technological revolution, the digital economy has injected new momentum into China’s high-quality economic development. This article aims to clarify the relationships among digital economy, green innovation, and green development using Westerlund and Edgerton (2007) cointegration test as well as pooled mean group (PMG) estimation and utilizing yearly data from 274 cities in China from 2011 to 2019. Overall, the results confirm the existence of cointegration relationships between green development and green innovation, between green development and digital economy, as well as between digital economy and green innovation, and support that digital economy and green innovation can affect the green development in the long-term positively. Additionally, while digital economy positively affects the green development in the short-run, green innovation cannot affect the green development. Furthermore, while the long-run positive impact of digital economy and green innovation on green development is generally established among eastern, central, and western regions, the short-run impact of such two factors on green innovation varies among different regions, seeing as both two variables exert no significant impact on green development in western region. Empirical findings offer important policy implications for the policymakers to attach more importance on the emerging economy model such as digital economy or green innovation, which can bring about long-term green development.KEYWORDS: Green developmentdigital economygreen innovationcross-section dependencecointegrationJEL: C01C32Q40 AcknowledgementWe would like to thank Professor Chun-Ping Chang, co-editor in chief of Emerging Markets Finance and Trade, as well as all anonymous reviewers for their comments and support in our revision.Disclosure StatementNo potential conflict of interest was reported by the author(s).Notes1. Due to the results for such 4 sub-samples are similar to that of full sample, these results are not reported to save the space, but are available upon request.Additional informationFundingYing Lin thanks financial support from the National Social Science Fund of China (No. 20CGL030) and the Humanities and Social Science Fund of Ministry of Education of China (No. 19YJC790075). The work was also supported by the Humanities and Social Science Fund of Ministry of Education of China [22YJC790130] and the National Natural Science Foundation of China [72204227].","PeriodicalId":11693,"journal":{"name":"Emerging Markets Finance and Trade","volume":"301 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135483826","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}
Pub Date : 2023-09-28DOI: 10.1080/1540496x.2023.2260543
Yong Jiang, Seema Narayan, Yi-Shuai Ren, Chao-Qun Ma
ABSTRACTThis study applies a quantile cointegration model to investigate if COVID-19 outbreaks in the BRICS (China, India, Russia, Brazil, and South Africa) and the United States have a long-run equilibrium relationship with the dynamics of oil prices. (1) The standard cointegration models are unstable, indicating the possibility of structural breaks and nonlinearity in the relationship between the COVID-19 pandemic and oil prices; (2) The results of the quantile cointegration model suggest the COVID-19 pandemic and oil prices are nearly cointegrated over whole quantiles of the oil price distribution for the United States, Russia, South Africa, and Brazil. However, the long-run equilibrium relationship between the COVID-19 pandemic and oil prices in China is more likely to occur in the lower quantiles of the oil price distribution; (3) For India, the equilibrium link exists only across the two higher quantiles (0.7 and 0.8 quantiles) of the oil price distribution. Finally, our research has significant policy implications for the governments of the world’s largest countries that are concerned about the impact of the COVID-19 pandemic outbreak on oil prices.KEYWORDS: COVID-19oil pricesBRICSUSquantile cointegration modelJEL: C22Q41Q43 Disclosure StatementNo potential conflict of interest was reported by the author(s).Data Availability StatementData will be available on request.Notes1. https://www.theguardian.com/world/2020/apr/20/oil-prices-sink-to-20-year-low-as-un-sounds-alarm-on-to-covid-19-relief-fundAdditional informationFundingThis work was supported by the Youth project of Jiangsu Social Science Foundation [21EYC001]; National Natural Science Foundation of China under Grant [72101120]; the third phase of Applied Economics of Nanjing Audit University for advantageous disciplines in Colleges and universities in Jiangsu Province project under Grant [(No. [2018]87)]; the Natural Science Foundation of Hunan Province [2022JJ40106]; Jiangsu Provincial Key Laboratory of Financial Engineering Foundation [NSK2021-20]; National Natural Science Foundation of China under Grant [72192800].
{"title":"The International Oil Price in the Context of the COVID-19 Pandemic Outbreak: Evidence from BRICS and US","authors":"Yong Jiang, Seema Narayan, Yi-Shuai Ren, Chao-Qun Ma","doi":"10.1080/1540496x.2023.2260543","DOIUrl":"https://doi.org/10.1080/1540496x.2023.2260543","url":null,"abstract":"ABSTRACTThis study applies a quantile cointegration model to investigate if COVID-19 outbreaks in the BRICS (China, India, Russia, Brazil, and South Africa) and the United States have a long-run equilibrium relationship with the dynamics of oil prices. (1) The standard cointegration models are unstable, indicating the possibility of structural breaks and nonlinearity in the relationship between the COVID-19 pandemic and oil prices; (2) The results of the quantile cointegration model suggest the COVID-19 pandemic and oil prices are nearly cointegrated over whole quantiles of the oil price distribution for the United States, Russia, South Africa, and Brazil. However, the long-run equilibrium relationship between the COVID-19 pandemic and oil prices in China is more likely to occur in the lower quantiles of the oil price distribution; (3) For India, the equilibrium link exists only across the two higher quantiles (0.7 and 0.8 quantiles) of the oil price distribution. Finally, our research has significant policy implications for the governments of the world’s largest countries that are concerned about the impact of the COVID-19 pandemic outbreak on oil prices.KEYWORDS: COVID-19oil pricesBRICSUSquantile cointegration modelJEL: C22Q41Q43 Disclosure StatementNo potential conflict of interest was reported by the author(s).Data Availability StatementData will be available on request.Notes1. https://www.theguardian.com/world/2020/apr/20/oil-prices-sink-to-20-year-low-as-un-sounds-alarm-on-to-covid-19-relief-fundAdditional informationFundingThis work was supported by the Youth project of Jiangsu Social Science Foundation [21EYC001]; National Natural Science Foundation of China under Grant [72101120]; the third phase of Applied Economics of Nanjing Audit University for advantageous disciplines in Colleges and universities in Jiangsu Province project under Grant [(No. [2018]87)]; the Natural Science Foundation of Hunan Province [2022JJ40106]; Jiangsu Provincial Key Laboratory of Financial Engineering Foundation [NSK2021-20]; National Natural Science Foundation of China under Grant [72192800].","PeriodicalId":11693,"journal":{"name":"Emerging Markets Finance and Trade","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135385675","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}
Pub Date : 2023-09-28DOI: 10.1080/1540496x.2023.2253978
Shuxin Zheng, Yugang Yin, Yahui Liu
ABSTRACTThis article examines the effect of firm product similarity on stock price comovement. Using the financial data and annual reports of listed firms in the Chinese A-share market from January 2001 to December 2021, we find that firms with greater product similarity experience synchronized movements in their stock prices. This effect is driven by firm fundamentals, as demonstrated through major international events (Global Financial Crisis, European Sovereign Debt Crisis, and Trade Dispute between China and the U.S.) and domestic events (Two Sessions about the Deepening Overall Reform, and Central Economic Conference following the COVID-19 Outbreak). We also show that firms that release earnings announcements earlier contribute to the comovement of stock prices within their product-similarity cluster. Our findings are robust across various tests and provide insights into the dynamics of the Chinese A-share market.KEYWORDS: Firm product similaritystock price comovementexternal shockChinaJEL: G140G170G300 Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1. Regression results for control variables in Tables 5, 7–9, 11 and 12 are omitted due to the limit of pages.2. In panel regressions throughout this article, the standard errors are clustered at the firm level with the year-fixed effects. In panel and Fama-MacBeth regressions, the unit of coefficients is in percentage. The t-statistics for corresponding coefficient estimates are presented within parentheses. ***, **, and * represent statistical significance at the 1%, 5%, and 10% levels, respectively.3. Due to the high correlation among MOM, CLUSTER_MOM, and AREA_MOM, we only incorporate the significant one with the largest influence magnitude as control variables. In Table 3, the regression results with MOM is not displayed because it has relatively small impacts on CMVT.4. The Newey-West t-statistics are presented within parentheses.5. Guba is important investor social media in China that contains various retail investors posting their comments toward stocks and the market. We obtain Guba comments from Stock Comments Database in CNRDS (China Research Data Service), which begins from 2008 and with identifiers of positive and negative emotions.6. The Central Economic Work Conference is excluded in this test, because the event month is the last month in both the event year and our sample, therefore has no sufficient observations obtaining the estimation results.7. The reasons may be that except the sudden break and contagion of Global Financial Crisis that is prominent to be detected, the other three events are accompanied with gradual signals that occur before the event months, such as the debt crisis in Greece and the presidential memorandum signed by Donald Trump proposing levying tariffs under Special 301 Report. The Two Sessions also arouse hot discussions toward the policy directions before the conference date due to its special role, the details ar
{"title":"Firm Product Similarity and Stock Price Comovement: Evidence from China","authors":"Shuxin Zheng, Yugang Yin, Yahui Liu","doi":"10.1080/1540496x.2023.2253978","DOIUrl":"https://doi.org/10.1080/1540496x.2023.2253978","url":null,"abstract":"ABSTRACTThis article examines the effect of firm product similarity on stock price comovement. Using the financial data and annual reports of listed firms in the Chinese A-share market from January 2001 to December 2021, we find that firms with greater product similarity experience synchronized movements in their stock prices. This effect is driven by firm fundamentals, as demonstrated through major international events (Global Financial Crisis, European Sovereign Debt Crisis, and Trade Dispute between China and the U.S.) and domestic events (Two Sessions about the Deepening Overall Reform, and Central Economic Conference following the COVID-19 Outbreak). We also show that firms that release earnings announcements earlier contribute to the comovement of stock prices within their product-similarity cluster. Our findings are robust across various tests and provide insights into the dynamics of the Chinese A-share market.KEYWORDS: Firm product similaritystock price comovementexternal shockChinaJEL: G140G170G300 Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1. Regression results for control variables in Tables 5, 7–9, 11 and 12 are omitted due to the limit of pages.2. In panel regressions throughout this article, the standard errors are clustered at the firm level with the year-fixed effects. In panel and Fama-MacBeth regressions, the unit of coefficients is in percentage. The t-statistics for corresponding coefficient estimates are presented within parentheses. ***, **, and * represent statistical significance at the 1%, 5%, and 10% levels, respectively.3. Due to the high correlation among MOM, CLUSTER_MOM, and AREA_MOM, we only incorporate the significant one with the largest influence magnitude as control variables. In Table 3, the regression results with MOM is not displayed because it has relatively small impacts on CMVT.4. The Newey-West t-statistics are presented within parentheses.5. Guba is important investor social media in China that contains various retail investors posting their comments toward stocks and the market. We obtain Guba comments from Stock Comments Database in CNRDS (China Research Data Service), which begins from 2008 and with identifiers of positive and negative emotions.6. The Central Economic Work Conference is excluded in this test, because the event month is the last month in both the event year and our sample, therefore has no sufficient observations obtaining the estimation results.7. The reasons may be that except the sudden break and contagion of Global Financial Crisis that is prominent to be detected, the other three events are accompanied with gradual signals that occur before the event months, such as the debt crisis in Greece and the presidential memorandum signed by Donald Trump proposing levying tariffs under Special 301 Report. The Two Sessions also arouse hot discussions toward the policy directions before the conference date due to its special role, the details ar","PeriodicalId":11693,"journal":{"name":"Emerging Markets Finance and Trade","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135385520","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}
Pub Date : 2023-09-28DOI: 10.1080/1540496x.2023.2260545
Huimin Liu, Yupeng Shi, Baowen Sun, Xuze Yang
ABSTRACTThis study examines the relationship between the agglomeration of the digital service industry (ADS) and listed companies’ digital transformation in China. We analyze panel data from 282 prefecture-level cities and listed companies for 2010–2019. The results reveal that ADS has an indirect positive effect on listed companies’ digital transformation by improving firms’ innovation inputs and decreasing their operating costs. These findings hold after using instrumental variables to solve the endogeneity problem and conducting robustness tests. Digital services is the only producer service industry whose agglomeration influences listed companies’ digital transformation. The impact of ADS on digital transformation is strongest in manufacturing, non-state-owned, and small and medium-sized enterprises.KEYWORDS: Agglomerationdigital service industrydigital transformationdigital economydigitalizationJEL: R11L21L80 Disclosure StatementNo potential conflict of interest was reported by the author(s).Data Availability StatementThe data that support the results of this study are all available in the public domain.Notes1. The following indicators are provincial-level data: output of mobile phones, output of integrated circuits, output of microcomputer equipment, length of long-distance optical cable lines, number of software industry enterprises, employees of information transmission computer services and software services, number of websites, number of web pages, internet penetration rate, mobile phone switch capacity, percentage of businesses with e-commerce transactions, and e-commerce sales.2. The following indicators are prefecture-level city data: the number of post offices or post offices at the end of the year, the number of users of fixed telephones at the end of the year, the income of postal services, the income of telecommunications services, the number of users of mobile phones at the end of the year, the employees of information transmission computer services and software services, and the number of internet broadband access users.Additional informationFundingThis work was supported by the National Social Science Foundation of China [No. 22ZDA043]; National Social Science Foundation of China [No. 21ZDA032]; National Social Science Youth Foundation of China [No. 19CJL018]; CUFE postgraduate students support program for the integration of research and teaching [No. 202225].
{"title":"Agglomeration of the Digital Services Industry and Digital Transformation: Evidence from China","authors":"Huimin Liu, Yupeng Shi, Baowen Sun, Xuze Yang","doi":"10.1080/1540496x.2023.2260545","DOIUrl":"https://doi.org/10.1080/1540496x.2023.2260545","url":null,"abstract":"ABSTRACTThis study examines the relationship between the agglomeration of the digital service industry (ADS) and listed companies’ digital transformation in China. We analyze panel data from 282 prefecture-level cities and listed companies for 2010–2019. The results reveal that ADS has an indirect positive effect on listed companies’ digital transformation by improving firms’ innovation inputs and decreasing their operating costs. These findings hold after using instrumental variables to solve the endogeneity problem and conducting robustness tests. Digital services is the only producer service industry whose agglomeration influences listed companies’ digital transformation. The impact of ADS on digital transformation is strongest in manufacturing, non-state-owned, and small and medium-sized enterprises.KEYWORDS: Agglomerationdigital service industrydigital transformationdigital economydigitalizationJEL: R11L21L80 Disclosure StatementNo potential conflict of interest was reported by the author(s).Data Availability StatementThe data that support the results of this study are all available in the public domain.Notes1. The following indicators are provincial-level data: output of mobile phones, output of integrated circuits, output of microcomputer equipment, length of long-distance optical cable lines, number of software industry enterprises, employees of information transmission computer services and software services, number of websites, number of web pages, internet penetration rate, mobile phone switch capacity, percentage of businesses with e-commerce transactions, and e-commerce sales.2. The following indicators are prefecture-level city data: the number of post offices or post offices at the end of the year, the number of users of fixed telephones at the end of the year, the income of postal services, the income of telecommunications services, the number of users of mobile phones at the end of the year, the employees of information transmission computer services and software services, and the number of internet broadband access users.Additional informationFundingThis work was supported by the National Social Science Foundation of China [No. 22ZDA043]; National Social Science Foundation of China [No. 21ZDA032]; National Social Science Youth Foundation of China [No. 19CJL018]; CUFE postgraduate students support program for the integration of research and teaching [No. 202225].","PeriodicalId":11693,"journal":{"name":"Emerging Markets Finance and Trade","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135385678","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}
Pub Date : 2023-09-04DOI: 10.1080/1540496x.2023.2251652
Qingduo Zeng, Tao Bing, Li Li, Yang Xu
{"title":"Data Factor and Financial Market Equilibrium","authors":"Qingduo Zeng, Tao Bing, Li Li, Yang Xu","doi":"10.1080/1540496x.2023.2251652","DOIUrl":"https://doi.org/10.1080/1540496x.2023.2251652","url":null,"abstract":"","PeriodicalId":11693,"journal":{"name":"Emerging Markets Finance and Trade","volume":"43 1","pages":""},"PeriodicalIF":4.0,"publicationDate":"2023-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86735081","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}
Pub Date : 2023-09-04DOI: 10.1080/1540496x.2023.2251649
Yu Hao, Shiyao Liu, Aiai Zhao, Guoyao Yan
{"title":"How Does Digital Financial Inclusion Affect Energy Usage? Evidence from Prefecture-Level Cities in China","authors":"Yu Hao, Shiyao Liu, Aiai Zhao, Guoyao Yan","doi":"10.1080/1540496x.2023.2251649","DOIUrl":"https://doi.org/10.1080/1540496x.2023.2251649","url":null,"abstract":"","PeriodicalId":11693,"journal":{"name":"Emerging Markets Finance and Trade","volume":"56 1","pages":""},"PeriodicalIF":4.0,"publicationDate":"2023-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73256572","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}
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