Pub Date : 2026-03-17DOI: 10.1016/j.frl.2026.109828
Xingxuan Zhuo, Zijiao Chen, Fangyun Zhang
While carbon pricing is a critical indicator of market efficiency, existing research largely relies on low-frequency macroeconomic data, neglecting the real-time impact of ultra-high-frequency drivers. This paper addresses this gap by examining the influence of intraday weather, electricity, and financial uncertainty on daily carbon price dynamics. To achieve this, this study proposes a novel hybrid model integrating Prophet, Neural Networks, and Mixed Data Sampling (MIDAS) to fuse mixed-frequency time series with irregular event data. Applied to the EU ETS, the model significantly outperforms traditional benchmarks. These results highlight the critical role of high-frequency dynamics in carbon markets and offer precise tools for policy optimization.
{"title":"Forecasting Carbon Prices with High-Frequency Data and Irregular Shocks: A Hybrid P-NN-MIDAS Framework","authors":"Xingxuan Zhuo, Zijiao Chen, Fangyun Zhang","doi":"10.1016/j.frl.2026.109828","DOIUrl":"https://doi.org/10.1016/j.frl.2026.109828","url":null,"abstract":"While carbon pricing is a critical indicator of market efficiency, existing research largely relies on low-frequency macroeconomic data, neglecting the real-time impact of ultra-high-frequency drivers. This paper addresses this gap by examining the influence of intraday weather, electricity, and financial uncertainty on daily carbon price dynamics. To achieve this, this study proposes a novel hybrid model integrating Prophet, Neural Networks, and Mixed Data Sampling (MIDAS) to fuse mixed-frequency time series with irregular event data. Applied to the EU ETS, the model significantly outperforms traditional benchmarks. These results highlight the critical role of high-frequency dynamics in carbon markets and offer precise tools for policy optimization.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"21 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2026-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147464810","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}
Pub Date : 2026-03-17DOI: 10.1016/j.frl.2026.109829
Huanmin Yan, Siyuan Zhang, Yujing Wu, Dongfei Gao
The Shenzhen and Shanghai Stock Exchanges have successively launched the “Interactive Easy” and “E-Interaction” platforms, providing online communication channels between stakeholders and listed companies. Based on this unique Q&A dataset, we construct exchange platform interaction indicators from three perspectives: interaction frequency, interaction quality, and interaction content. Our findings have implications for understanding the negative association between platform interactions and corporate tax avoidance. We further provide suggestive evidence that enhanced information transparency and alleviated financing constraints are potential explanations for the observed association. The moderating effect tests indicate that this association is slightly stronger for non-state-owned and non-high-tech firms.
{"title":"Shall we have a chat? Exchange platform interaction and Corporate Tax Avoidance","authors":"Huanmin Yan, Siyuan Zhang, Yujing Wu, Dongfei Gao","doi":"10.1016/j.frl.2026.109829","DOIUrl":"https://doi.org/10.1016/j.frl.2026.109829","url":null,"abstract":"The Shenzhen and Shanghai Stock Exchanges have successively launched the “Interactive Easy” and “E-Interaction” platforms, providing online communication channels between stakeholders and listed companies. Based on this unique Q&A dataset, we construct exchange platform interaction indicators from three perspectives: interaction frequency, interaction quality, and interaction content. Our findings have implications for understanding the negative association between platform interactions and corporate tax avoidance. We further provide suggestive evidence that enhanced information transparency and alleviated financing constraints are potential explanations for the observed association. The moderating effect tests indicate that this association is slightly stronger for non-state-owned and non-high-tech firms.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"36 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2026-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147464811","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}
Pub Date : 2026-03-16DOI: 10.1016/j.frl.2026.109820
Javier Ojea-Ferreiro
This paper analyzes market-based connections between Canadian banks and non-bank financial institutions during periods of stress. Using weekly equity data from 1990-2024, I find an increase in the perceived interconnections between Canadian banks and NBFIs in the period leading up to the COVID-19 pandemic and stabilized after. After policy measures were taken to control the liquidity issue of Home Trust during 2017, the systemic risk spillovers from mortgage firms to the banking sector decreased. Tail dependence with NBFIs is stronger for larger banks, emphasizing their central role in the financial system. Overall, the findings highlight the growing importance of the bank–NBFI nexus for financial stability monitoring and the usefulness of market‑based tail risk measures for tracking systemic vulnerabilities in real time.
{"title":"Tail market linkage between Canadian banks and non-bank financial intermediaries","authors":"Javier Ojea-Ferreiro","doi":"10.1016/j.frl.2026.109820","DOIUrl":"https://doi.org/10.1016/j.frl.2026.109820","url":null,"abstract":"This paper analyzes market-based connections between Canadian banks and non-bank financial institutions during periods of stress. Using weekly equity data from 1990-2024, I find an increase in the perceived interconnections between Canadian banks and NBFIs in the period leading up to the COVID-19 pandemic and stabilized after. After policy measures were taken to control the liquidity issue of Home Trust during 2017, the systemic risk spillovers from mortgage firms to the banking sector decreased. Tail dependence with NBFIs is stronger for larger banks, emphasizing their central role in the financial system. Overall, the findings highlight the growing importance of the bank–NBFI nexus for financial stability monitoring and the usefulness of market‑based tail risk measures for tracking systemic vulnerabilities in real time.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"36 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2026-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147464812","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}
This study presents a macro-level analysis of financial citizenship and capital market participation in Brazil using official data from 27 federative units. Unlike traditional individual-level surveys focused on stocks, we examine participation in both the stock market (B3) and public bonds (Tesouro Direto). K-means clustering identifies two regional groups (“Northern” and “Southern”), and OLS regressions with HC3 robust errors show that the Financial Education Index consistently predicts participation across regions. The Municipal Human Development Index strongly predicts participation in the South but not in the North, highlighting structural regional disparities. Results suggest financial citizenship policies should be tailored regionally.
{"title":"Financial Citizenship and Capital Market Participation in Brazil: A Macro-Level Regional Analysis","authors":"Diogo dos Santos Damas, Gilson Brito Alves Lima, Ricardo Bordeaux Rego","doi":"10.1016/j.frl.2026.109817","DOIUrl":"https://doi.org/10.1016/j.frl.2026.109817","url":null,"abstract":"This study presents a macro-level analysis of financial citizenship and capital market participation in Brazil using official data from 27 federative units. Unlike traditional individual-level surveys focused on stocks, we examine participation in both the stock market (B3) and public bonds (Tesouro Direto). K-means clustering identifies two regional groups (“Northern” and “Southern”), and OLS regressions with HC3 robust errors show that the Financial Education Index consistently predicts participation across regions. The Municipal Human Development Index strongly predicts participation in the South but not in the North, highlighting structural regional disparities. Results suggest financial citizenship policies should be tailored regionally.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"10 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2026-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147464815","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}
Pub Date : 2026-03-14DOI: 10.1016/j.frl.2026.109813
Jichuan Zong, Jingyu Xiong, Xinxin Zhu
Investor behavioral mechanisms driving cross-market contagion remain empirically disputed, with portfolio rebalancing and wealth effect offering competing predictions. We hypothesize that temporal aggregation bias may obscure how investor behaviors vary across time horizons. By analyzing 6 emerging and 9 developed markets (2004–2025) during four crises using a time–frequency quantile VAR model, we identify systematic pattern of investor-induced contagion mechanisms: portfolio rebalancing plays a relatively more important role in short-term transmission (1–5 days) and moderate stress, while wealth effect tends to drive medium- to long-term contagion (6–250 days) and severe distress scenarios, reflecting investors’ transition from strategic adjustment to forced liquidation. Both investor behaviors coexist with time-varying importance: wealth effect behavior generally amplifies as market stress intensifies from moderate to extreme levels. Notably, wealth effect exerts more consistent impacts between emerging and developed markets.
{"title":"Wealth effect versus portfolio rebalancing in driving cross-market contagion: A time–frequency quantile approach","authors":"Jichuan Zong, Jingyu Xiong, Xinxin Zhu","doi":"10.1016/j.frl.2026.109813","DOIUrl":"https://doi.org/10.1016/j.frl.2026.109813","url":null,"abstract":"Investor behavioral mechanisms driving cross-market contagion remain empirically disputed, with portfolio rebalancing and wealth effect offering competing predictions. We hypothesize that temporal aggregation bias may obscure how investor behaviors vary across time horizons. By analyzing 6 emerging and 9 developed markets (2004–2025) during four crises using a time–frequency quantile VAR model, we identify systematic pattern of investor-induced contagion mechanisms: portfolio rebalancing plays a relatively more important role in short-term transmission (1–5 days) and moderate stress, while wealth effect tends to drive medium- to long-term contagion (6–250 days) and severe distress scenarios, reflecting investors’ transition from strategic adjustment to forced liquidation. Both investor behaviors coexist with time-varying importance: wealth effect behavior generally amplifies as market stress intensifies from moderate to extreme levels. Notably, wealth effect exerts more consistent impacts between emerging and developed markets.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"17 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2026-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147464816","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}
Pub Date : 2026-03-14DOI: 10.1016/j.frl.2026.109814
Yuelong Liu, Yaya Wu, Jie Zhou
{"title":"Can Digital Regulation Curb Corporate Leverage Manipulation? Evidence from the \"Golden Tax Phase III\" Project","authors":"Yuelong Liu, Yaya Wu, Jie Zhou","doi":"10.1016/j.frl.2026.109814","DOIUrl":"https://doi.org/10.1016/j.frl.2026.109814","url":null,"abstract":"","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"53 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2026-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147447125","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}
Pub Date : 2026-03-14DOI: 10.1016/j.frl.2026.109711
Oliver González, Benjamin Keddad
{"title":"Corrigendum to \"The Piggy Bank Index: An intuitive risk measure to assess liquidity and capital adequacy in banks\" Finance Research Letters, Volume 60, February 2024, 104846","authors":"Oliver González, Benjamin Keddad","doi":"10.1016/j.frl.2026.109711","DOIUrl":"https://doi.org/10.1016/j.frl.2026.109711","url":null,"abstract":"","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"106 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2026-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147448465","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}
Pub Date : 2026-03-14DOI: 10.1016/j.frl.2026.109807
Umar Kayani, Suzan Dsouza, Farrukh Nawaz, Tonmoy Choudhury
{"title":"Unveiling the Intriguing Connection between Carbon Emissions, Renewable Energy Consumption, and Performance: Evidence from NSE CNX500","authors":"Umar Kayani, Suzan Dsouza, Farrukh Nawaz, Tonmoy Choudhury","doi":"10.1016/j.frl.2026.109807","DOIUrl":"https://doi.org/10.1016/j.frl.2026.109807","url":null,"abstract":"","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"54 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2026-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147448462","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}
Pub Date : 2026-03-13DOI: 10.1016/j.frl.2026.109805
Juan-Francisco Albert, Nerea Gómez-Fernández
{"title":"Inequality Effects of Climate Concern: Evidence from U.S. Income and Financial Data","authors":"Juan-Francisco Albert, Nerea Gómez-Fernández","doi":"10.1016/j.frl.2026.109805","DOIUrl":"https://doi.org/10.1016/j.frl.2026.109805","url":null,"abstract":"","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"9 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2026-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147447120","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}
Pub Date : 2026-03-13DOI: 10.1016/j.frl.2026.109809
Chen-Ting (Chris) Lien
{"title":"Shareholder Protection and Corporate Cash Holdings: Evidence from Delaware Senate Bill 21","authors":"Chen-Ting (Chris) Lien","doi":"10.1016/j.frl.2026.109809","DOIUrl":"https://doi.org/10.1016/j.frl.2026.109809","url":null,"abstract":"","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"94 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2026-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147447124","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}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：