Exchange rate co‐movements can be pathways for contagion and reduce the ability for diversification. News sentiment on the currency, as a high frequency proxy for market expectations, may affect exchange rate dynamics. We use the connectedness approach from Diebold and Yilmaz (International Journal of Forecasting, 2012, 28(1), 57–66) to model co‐movements of exchange rate changes and news sentiment of 14 Asian‐Pacific currencies from 1998 to 2022. Our results indicate that the connectedness between the exchange rate changes increases over time, especially among advanced economies after the Global Financial Crisis. We do not find evidence that currency news sentiment can serve as an early warning indicator for exchange rate changes.
{"title":"Connectedness in exchange rates and news sentiment in the Asia‐Pacific region","authors":"Tjeerd M. Boonman, Jens Fittje","doi":"10.1002/ijfe.3021","DOIUrl":"https://doi.org/10.1002/ijfe.3021","url":null,"abstract":"Exchange rate co‐movements can be pathways for contagion and reduce the ability for diversification. News sentiment on the currency, as a high frequency proxy for market expectations, may affect exchange rate dynamics. We use the connectedness approach from Diebold and Yilmaz (International Journal of Forecasting, 2012, 28(1), 57–66) to model co‐movements of exchange rate changes and news sentiment of 14 Asian‐Pacific currencies from 1998 to 2022. Our results indicate that the connectedness between the exchange rate changes increases over time, especially among advanced economies after the Global Financial Crisis. We do not find evidence that currency news sentiment can serve as an early warning indicator for exchange rate changes.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"1 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141920137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This research explores the relationship between sustainability disclosures and business trust within a dataset comprising 689 publicly listed companies in China spanning from 2006 to 2018. Our analysis delves into how business trust influences levels of sustainability disclosure, revealing a positive correlation between the two. To ensure the reliability of our findings, we conducted additional tests to address potential endogeneity concerns. Supplementary analyses indicate that this positive relationship between sustainability disclosure and business trust is particularly notable among non‐state‐owned enterprises (non‐SOEs) and companies operating in regions characterized by lower levels of marketization. Our study aligns with the principles of neo‐institutional theory, indicating that business trust, functioning as an informal institution, shapes firms' sustainability disclosure practices through normative pressures. Moreover, we observe that business trust holds more sway over sustainability disclosure practices in contexts where formal institutions are weaker. These findings contribute fresh perspectives on the determinants of sustainability disclosures and underscore the pivotal role of business trust in fostering such disclosures. Based on our findings, we suggest that policymakers should foster a business environment that enhances trust among stakeholders, encouraging firms, especially in regions with weak formal institutions, to engage more rigorously in sustainability disclosure. Such policy initiatives could include developing clearer guidelines for sustainability reporting and promoting transparency as a core business value. The implications of our research extend to managers, regulators, and investors alike, highlighting the need for integrated approaches to enhance transparency and trust in the business sector.
{"title":"Is transparency in sustainability the fruit of business trust: Evidence from sustainability disclosure?","authors":"Yanqi Sun, Kun Su, Wei Cai, Min Bai","doi":"10.1002/ijfe.3022","DOIUrl":"https://doi.org/10.1002/ijfe.3022","url":null,"abstract":"This research explores the relationship between sustainability disclosures and business trust within a dataset comprising 689 publicly listed companies in China spanning from 2006 to 2018. Our analysis delves into how business trust influences levels of sustainability disclosure, revealing a positive correlation between the two. To ensure the reliability of our findings, we conducted additional tests to address potential endogeneity concerns. Supplementary analyses indicate that this positive relationship between sustainability disclosure and business trust is particularly notable among non‐state‐owned enterprises (non‐SOEs) and companies operating in regions characterized by lower levels of marketization. Our study aligns with the principles of neo‐institutional theory, indicating that business trust, functioning as an informal institution, shapes firms' sustainability disclosure practices through normative pressures. Moreover, we observe that business trust holds more sway over sustainability disclosure practices in contexts where formal institutions are weaker. These findings contribute fresh perspectives on the determinants of sustainability disclosures and underscore the pivotal role of business trust in fostering such disclosures. Based on our findings, we suggest that policymakers should foster a business environment that enhances trust among stakeholders, encouraging firms, especially in regions with weak formal institutions, to engage more rigorously in sustainability disclosure. Such policy initiatives could include developing clearer guidelines for sustainability reporting and promoting transparency as a core business value. The implications of our research extend to managers, regulators, and investors alike, highlighting the need for integrated approaches to enhance transparency and trust in the business sector.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"9 10","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141920350","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Xiaofang Chen, Chong Wu, Zijiao Zhang, Jiaming Liu
The motivation of this article is to help financial soundness companies understand their specific financial status so that they can take timely measures to avoid financial distress. Existing multi‐class financial distress prediction (FDP) studies have mainly segmented financial crisis status, with less attention paid to financial soundness companies. To fill this gap, we propose a new multi‐class definition of FDP from the perspective of financial soundness enterprises. The financial states are defined as financial soundness, moderate financial soundness, mild financial soundness and financial distress. We propose a stacking ensemble model for multi‐class FDP. First, deep neural network, multinomial logit regression (MNLogit) and multivariate discriminant analysis models are used as basic classifiers to obtain preliminary prediction results. Second, MNLogit is used to integrate the results from the previous step. To increase the effective information, stock information is then added into the model. The proposed model was trained using data from 2007 to 2019 for Chinese listed companies and tested using data from 2020. The results show that the MacroR‐Pre, MacroR‐Rec, MacroR‐F1 and MacroR‐AUC of the proposed model are better compared with the benchmark model, including individuals and ensembles, with 87.05%, 90.68%, 88.70% and 88.20%.The addition of stock information and non‐financial indicators can improve the accuracy of the multi‐class FDP model by about 8%. The innovativeness of this paper is twofold. First, it proposes a new multi‐class definition of enterprise financial status. Second, a multi‐class FDP based on stacking is constructed, which provides a new method for solving the multi‐class FDP problem. The study shows that the proposed multi‐class definition and stacking model are suitable for analysing financial soundness enterprises, which can help managers effectively grasp the specific financial status and have strong practical significance.
本文的研究动机是帮助财务稳健的公司了解其具体的财务状况，从而及时采取措施避免财务困境。现有的多类别财务困境预测（FDP）研究主要是对财务危机状况进行细分，对财务稳健公司的关注较少。为了填补这一空白，我们从财务稳健企业的角度出发，提出了一种新的多类财务困境预测（FDP）定义。财务状态被定义为财务稳健、中度财务稳健、轻度财务稳健和财务困境。我们提出了多类 FDP 的堆叠集合模型。首先，使用深度神经网络、多二叉对数回归（MNLogit）和多元判别分析模型作为基本分类器，获得初步预测结果。其次，使用 MNLogit 对上一步的结果进行整合。为了增加有效信息，模型中还加入了股票信息。使用 2007 年至 2019 年中国上市公司的数据对所提出的模型进行了训练，并使用 2020 年的数据进行了测试。结果表明，与包括个体和集合在内的基准模型相比，所提模型的宏观R-Pre、宏观R-Rec、宏观R-F1和宏观R-AUC分别为87.05%、90.68%、88.70%和88.20%。本文的创新之处有两点。首先，本文提出了一种新的企业财务状况多级定义。其次，构建了基于堆叠的多类 FDP，为解决多类 FDP 问题提供了一种新方法。研究表明，所提出的多类定义和堆叠模型适用于分析财务稳健性企业，可以帮助管理者有效掌握具体的财务状况，具有很强的现实意义。
{"title":"Multi‐class financial distress prediction based on stacking ensemble method","authors":"Xiaofang Chen, Chong Wu, Zijiao Zhang, Jiaming Liu","doi":"10.1002/ijfe.3020","DOIUrl":"https://doi.org/10.1002/ijfe.3020","url":null,"abstract":"The motivation of this article is to help financial soundness companies understand their specific financial status so that they can take timely measures to avoid financial distress. Existing multi‐class financial distress prediction (FDP) studies have mainly segmented financial crisis status, with less attention paid to financial soundness companies. To fill this gap, we propose a new multi‐class definition of FDP from the perspective of financial soundness enterprises. The financial states are defined as financial soundness, moderate financial soundness, mild financial soundness and financial distress. We propose a stacking ensemble model for multi‐class FDP. First, deep neural network, multinomial logit regression (MNLogit) and multivariate discriminant analysis models are used as basic classifiers to obtain preliminary prediction results. Second, MNLogit is used to integrate the results from the previous step. To increase the effective information, stock information is then added into the model. The proposed model was trained using data from 2007 to 2019 for Chinese listed companies and tested using data from 2020. The results show that the MacroR‐Pre, MacroR‐Rec, MacroR‐F1 and MacroR‐AUC of the proposed model are better compared with the benchmark model, including individuals and ensembles, with 87.05%, 90.68%, 88.70% and 88.20%.The addition of stock information and non‐financial indicators can improve the accuracy of the multi‐class FDP model by about 8%. The innovativeness of this paper is twofold. First, it proposes a new multi‐class definition of enterprise financial status. Second, a multi‐class FDP based on stacking is constructed, which provides a new method for solving the multi‐class FDP problem. The study shows that the proposed multi‐class definition and stacking model are suitable for analysing financial soundness enterprises, which can help managers effectively grasp the specific financial status and have strong practical significance.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":" 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141826233","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Based on the data of listed firms in China from 2009 to 2020, this study investigates whether environmental, society and governance (ESG) peer effects reduce the risk of corporate financial distress from an executive social network perspective. Using two‐stage least squares method, our empirical results suggest that the ESG peer effects exist in executive social networks, and the ESG peer effects can alleviate corporate financial distress. ESG subcategory analysis shows that the governance peer effect has the most obvious alleviating effect on financial distress. The negative impact of ESG peer effects on corporate financial distress is stronger when firms have high network power, network cohesion and network control in executive social networks. Our conclusions still hold after a series of robustness tests. Our research expands the literature on peer effects from the perspective of social relations, and sheds additional light on the critical role of ESG peer effects in financial risk management.
{"title":"ESG peer effects and corporate financial distress: An executive social network perspective","authors":"Qian Ding, Jianbai Huang, Jinyu Chen, Ding Wang","doi":"10.1002/ijfe.3016","DOIUrl":"https://doi.org/10.1002/ijfe.3016","url":null,"abstract":"Based on the data of listed firms in China from 2009 to 2020, this study investigates whether environmental, society and governance (ESG) peer effects reduce the risk of corporate financial distress from an executive social network perspective. Using two‐stage least squares method, our empirical results suggest that the ESG peer effects exist in executive social networks, and the ESG peer effects can alleviate corporate financial distress. ESG subcategory analysis shows that the governance peer effect has the most obvious alleviating effect on financial distress. The negative impact of ESG peer effects on corporate financial distress is stronger when firms have high network power, network cohesion and network control in executive social networks. Our conclusions still hold after a series of robustness tests. Our research expands the literature on peer effects from the perspective of social relations, and sheds additional light on the critical role of ESG peer effects in financial risk management.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"1 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141688485","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The recent study aims to analyze the nonlinear dynamic effects of oil price shocks and macroeconomic uncertainty on exports. To achieve this, the study utilizes monthly data from July 2003 to December 2020 on oil prices and macroeconomic uncertainty, examining their impact on Pakistan's exports to its major trading partners. To ensure detailed and robust findings, the study employs various advanced econometric tools, including quantile unit root, cointegration, Granger causality tests, and quantile‐on‐quantile regression (QQR) and wavelet quantile correlation (WQC) techniques. The QQR and WQC estimates reveal diverse and nonlinear effects of oil price shocks and macroeconomic uncertainty on exports, reflecting the complexity of the relationship. While oil price shocks (OP) predominantly hinder exports in most cases, a significant and positive association between OP and exports is also observed. Similarly, macroeconomic uncertainty generally exhibits a significantly adverse influence on exports, but positive impacts are also evident. Furthermore, the quantile Granger causality test confirms the presence of a bidirectional causal relationship between the selected series. Based on the results mentioned above, the study argues that the effects of oil price shocks and economic uncertainty are nonlinear, diverse, and complex. As a result, the study suggests implementing phase‐wise policy recommendations to address these complexities.
{"title":"The scientific tale of the nexus between oil prices, macroeconomic uncertainty and Pakistan's exports to its major trading partners: Insights from advanced methods","authors":"M. Chishti","doi":"10.1002/ijfe.3009","DOIUrl":"https://doi.org/10.1002/ijfe.3009","url":null,"abstract":"The recent study aims to analyze the nonlinear dynamic effects of oil price shocks and macroeconomic uncertainty on exports. To achieve this, the study utilizes monthly data from July 2003 to December 2020 on oil prices and macroeconomic uncertainty, examining their impact on Pakistan's exports to its major trading partners. To ensure detailed and robust findings, the study employs various advanced econometric tools, including quantile unit root, cointegration, Granger causality tests, and quantile‐on‐quantile regression (QQR) and wavelet quantile correlation (WQC) techniques. The QQR and WQC estimates reveal diverse and nonlinear effects of oil price shocks and macroeconomic uncertainty on exports, reflecting the complexity of the relationship. While oil price shocks (OP) predominantly hinder exports in most cases, a significant and positive association between OP and exports is also observed. Similarly, macroeconomic uncertainty generally exhibits a significantly adverse influence on exports, but positive impacts are also evident. Furthermore, the quantile Granger causality test confirms the presence of a bidirectional causal relationship between the selected series. Based on the results mentioned above, the study argues that the effects of oil price shocks and economic uncertainty are nonlinear, diverse, and complex. As a result, the study suggests implementing phase‐wise policy recommendations to address these complexities.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141388095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study examines the impact of corporate social responsibility (CSR) in its environmental, social and governance (ESG) dimensions on firm productivity. We analyze a data set comprising 448 non‐financial firms operating in 15 European countries during the period 2002–2018 and find compelling evidence indicating that both the overall ESG scores and their individual sub‐pillars, are positively associated with total factor productivity (TFP). To ensure the robustness of our findings, we employ multiple analytical approaches to address potential endogeneity and selection biases. Our evidence demonstrates that the link between ESG and TFP link becomes more pronounced during economic slowdowns, particularly in the aftermath of the financial crisis. Furthermore, our investigation reveals that firms' environmental performance plays a pivotal role in driving this relationship. To validate this outcome, we employ a quasi‐natural experiment, focused on the adoption of the international climate change treaty, the 2015 ‘Paris Agreement’. Overall, our results offer valuable insights for policymakers and regulators and confirm that involvement in sustainability practices within the non‐financial sector not only yields societal benefits but also bolsters firm‐level productivity.
{"title":"Do responsible practices lead to higher firm productivity? Evidence from Europe","authors":"Stefano Piserà, Luca Gandullia, C. Girardone","doi":"10.1002/ijfe.3011","DOIUrl":"https://doi.org/10.1002/ijfe.3011","url":null,"abstract":"This study examines the impact of corporate social responsibility (CSR) in its environmental, social and governance (ESG) dimensions on firm productivity. We analyze a data set comprising 448 non‐financial firms operating in 15 European countries during the period 2002–2018 and find compelling evidence indicating that both the overall ESG scores and their individual sub‐pillars, are positively associated with total factor productivity (TFP). To ensure the robustness of our findings, we employ multiple analytical approaches to address potential endogeneity and selection biases. Our evidence demonstrates that the link between ESG and TFP link becomes more pronounced during economic slowdowns, particularly in the aftermath of the financial crisis. Furthermore, our investigation reveals that firms' environmental performance plays a pivotal role in driving this relationship. To validate this outcome, we employ a quasi‐natural experiment, focused on the adoption of the international climate change treaty, the 2015 ‘Paris Agreement’. Overall, our results offer valuable insights for policymakers and regulators and confirm that involvement in sustainability practices within the non‐financial sector not only yields societal benefits but also bolsters firm‐level productivity.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"64 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141388844","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Using a cross‐country data set of 670 microfinance institutions (MFIs) in nine countries from 1999 to 2018, this study examines the impact of economic policy uncertainty (EPU) on the credit risk of MFIs. The empirical results show that EPU significantly increases the credit risk of MFIs. Our findings are valid in a series of robustness checks. The moderating effects reveal that group lending can mitigate the impact of EPU on the credit risk of MFIs and that EPU has a weaker impact on nongovernmental organizations (NGOs) and cooperatives and credit unions (Coop/CUs). We explore potential channels through which credit risk is influenced by EPU from the perspectives of earnings volatility and cost. We find that EPU increases the credit risk of MFIs not only by reducing profitability and leverage levels and increasing earnings volatility but also by raising financing costs.
{"title":"Economic policy uncertainty and credit risk in microfinance: A cross‐country analysis","authors":"Mufang Xie","doi":"10.1002/ijfe.3003","DOIUrl":"https://doi.org/10.1002/ijfe.3003","url":null,"abstract":"Using a cross‐country data set of 670 microfinance institutions (MFIs) in nine countries from 1999 to 2018, this study examines the impact of economic policy uncertainty (EPU) on the credit risk of MFIs. The empirical results show that EPU significantly increases the credit risk of MFIs. Our findings are valid in a series of robustness checks. The moderating effects reveal that group lending can mitigate the impact of EPU on the credit risk of MFIs and that EPU has a weaker impact on nongovernmental organizations (NGOs) and cooperatives and credit unions (Coop/CUs). We explore potential channels through which credit risk is influenced by EPU from the perspectives of earnings volatility and cost. We find that EPU increases the credit risk of MFIs not only by reducing profitability and leverage levels and increasing earnings volatility but also by raising financing costs.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"8 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141111407","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Unlike ordinary futures, Treasury bond futures are a kind of complex financial derivatives with multiple Treasury bonds as the underlying, which can be settled on multiple dates. China's Treasury bond futures contract embeds a quality option, rolling timing option, and month end timing option, and these options restrict each other, making the pricing of Treasury bond futures extremely difficult. Quality option plays a dominant role in these three options. This article creatively divides quality options into theoretical quality option caused by the definition deviation of conversion factor and disturbance quality option caused by the market factors except for interest rate. Using the bond valuation method based on the yield to maturity curve, this article puts forward the embedded theoretical quality option and China's Treasury bond futures pricing models. For the empirical test, the dataset covers a 10‐year Treasury bond futures contract in 151 working days. The results show that the relative error between our model and the actual closing price of the Treasury bond futures is small compared with the cost of carry model, which excludes any embedded options. This research constructs a practical and straightforward pricing model of embedded theoretical quality option.
{"title":"Embedded theoretical quality option pricing in Treasury bond futures—Starting from the definition deviation of conversion factor","authors":"Xiaofeng Yang, Ling Zhao","doi":"10.1002/ijfe.3006","DOIUrl":"https://doi.org/10.1002/ijfe.3006","url":null,"abstract":"Unlike ordinary futures, Treasury bond futures are a kind of complex financial derivatives with multiple Treasury bonds as the underlying, which can be settled on multiple dates. China's Treasury bond futures contract embeds a quality option, rolling timing option, and month end timing option, and these options restrict each other, making the pricing of Treasury bond futures extremely difficult. Quality option plays a dominant role in these three options. This article creatively divides quality options into theoretical quality option caused by the definition deviation of conversion factor and disturbance quality option caused by the market factors except for interest rate. Using the bond valuation method based on the yield to maturity curve, this article puts forward the embedded theoretical quality option and China's Treasury bond futures pricing models. For the empirical test, the dataset covers a 10‐year Treasury bond futures contract in 151 working days. The results show that the relative error between our model and the actual closing price of the Treasury bond futures is small compared with the cost of carry model, which excludes any embedded options. This research constructs a practical and straightforward pricing model of embedded theoretical quality option.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"55 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141109170","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This article investigates the role of institutional quality in transmitting effects of commodity price volatility to economic growth. To do so, we collect data on 107 primary commodity exporting countries in both developing and developed ones over the period 1976–2015. Our empirical approach is based on Solow growth model framework (Solow, R. M. (1956). The Quarterly Journal of Economics, 70(1), 65) and consists of estimating a dynamic panel model using the two‐step system GMM estimator. Our results show evidence that commodity price booms are associated with good economic performances that are unfortunately wiped out by the negative effects of price volatility in developing commodity‐dependent countries (CDCs). The main channel through which this volatility affects economic growth turns out to be through factor productivity. Finally, we have formally established that the negative effect of price volatility in CDCs is mainly due to the poor quality of institutions in these countries. These results suggest that it is important for commodity‐exporting economies, especially developing CDCs, to work on building strong economic and political institutions to guard against the risk of commodity price volatility.
本文研究了制度质量在将商品价格波动的影响传递给经济增长方面的作用。为此，我们收集了 1976-2015 年间发展中国家和发达国家 107 个初级商品出口国的数据。我们的实证方法基于索洛增长模型框架（Solow, R. M. (1956)。The Quarterly Journal of Economics, 70(1), 65），并使用两步系统 GMM 估计器对动态面板模型进行估计。我们的研究结果表明，商品价格上涨与良好的经济表现有关，但不幸的是，依赖商品的发展中国家（CDCs）的经济表现却被价格波动的负面影响所抹杀。事实证明，价格波动影响经济增长的主要渠道是要素生产率。最后，我们正式确定，价格波动对依赖初级商品的发展中国家的负面影响主要是由于这些国家的机构质量低下。这些结果表明，商品出口经济体，尤其是发展中的依赖初级商品的发展中国家，必须努力建立强有力的经济和政治体制，以防范商品价格波动的风险。
{"title":"Commodity price volatility, institutions and economic growth: An empirical investigation","authors":"Fréjus‐Ferry Houndoga, Gabriel Picone","doi":"10.1002/ijfe.2996","DOIUrl":"https://doi.org/10.1002/ijfe.2996","url":null,"abstract":"This article investigates the role of institutional quality in transmitting effects of commodity price volatility to economic growth. To do so, we collect data on 107 primary commodity exporting countries in both developing and developed ones over the period 1976–2015. Our empirical approach is based on Solow growth model framework (Solow, R. M. (1956). The Quarterly Journal of Economics, 70(1), 65) and consists of estimating a dynamic panel model using the two‐step system GMM estimator. Our results show evidence that commodity price booms are associated with good economic performances that are unfortunately wiped out by the negative effects of price volatility in developing commodity‐dependent countries (CDCs). The main channel through which this volatility affects economic growth turns out to be through factor productivity. Finally, we have formally established that the negative effect of price volatility in CDCs is mainly due to the poor quality of institutions in these countries. These results suggest that it is important for commodity‐exporting economies, especially developing CDCs, to work on building strong economic and political institutions to guard against the risk of commodity price volatility.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"58 27","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140965470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
With the rapid development of the digital economy, digital mergers and acquisitions (M&A) have become essential means for enterprises to acquire digital technologies and accelerate their digital transformation. This paper examines the impact of digital M&A on stock price crash risk using a sample of M&A transactions of China A‐share listed companies from 2010 to 2021. The results show that digital M&A can reduce stock price crash risk after M&A. Further discussions reveal that compared to non‐digital M&A, digital M&A has a better market effect, and the target firms of digital M&A generally are in different industries from the acquirers, have relatively low registered capital, have a shorter registration time, and have better financial performance. Mechanism tests indicate that during the transaction, digital M&A increases the probability of signing earnout contracts and reduces the cash payment ratio. After the transaction, digital M&A increases research and development (R&D) investment and improves R&D investment efficiency, ultimately reducing stock price crash risk. Cross‐sectional tests suggest that in situations with intense market competition, lower digitalization level of the acquirers, and higher business similarity between the acquirer and the target firm, digital M&A is more effective in reducing stock price crash risk. The findings enrich the research on the operational mechanisms and economic consequences of digital M&A, providing theoretical references for regulatory authorities to optimise M&A regulatory policies and for enterprises to assess the benefits and risks of digital M&A.
{"title":"Can digital M&A reduce the stock price crash risk?","authors":"Jingyi Guan, Yunhui Wen","doi":"10.1002/ijfe.2997","DOIUrl":"https://doi.org/10.1002/ijfe.2997","url":null,"abstract":"With the rapid development of the digital economy, digital mergers and acquisitions (M&A) have become essential means for enterprises to acquire digital technologies and accelerate their digital transformation. This paper examines the impact of digital M&A on stock price crash risk using a sample of M&A transactions of China A‐share listed companies from 2010 to 2021. The results show that digital M&A can reduce stock price crash risk after M&A. Further discussions reveal that compared to non‐digital M&A, digital M&A has a better market effect, and the target firms of digital M&A generally are in different industries from the acquirers, have relatively low registered capital, have a shorter registration time, and have better financial performance. Mechanism tests indicate that during the transaction, digital M&A increases the probability of signing earnout contracts and reduces the cash payment ratio. After the transaction, digital M&A increases research and development (R&D) investment and improves R&D investment efficiency, ultimately reducing stock price crash risk. Cross‐sectional tests suggest that in situations with intense market competition, lower digitalization level of the acquirers, and higher business similarity between the acquirer and the target firm, digital M&A is more effective in reducing stock price crash risk. The findings enrich the research on the operational mechanisms and economic consequences of digital M&A, providing theoretical references for regulatory authorities to optimise M&A regulatory policies and for enterprises to assess the benefits and risks of digital M&A.","PeriodicalId":371613,"journal":{"name":"International Journal of Finance & Economics","volume":"38 8","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140966274","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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