Pub Date : 2025-06-01Epub Date: 2025-05-20DOI: 10.1016/j.gfj.2025.101128
Kai Tang , Yuxiang Cheng
As globalization continues to expand, cross-border personnel exchanges are increasing. This paper uses a two-way fixed effects model to empirically study the influence of CFO overseas experience on stock price crash risk (hereafter, crash risk) on the basis of a sample of 4235 listed firms in China's A-share market between 2003 and 2024. We find that CFOs with overseas experience possess greater expertise and skills, higher-order cognition, more effective cognitive structures, and lower overconfidence, which improve the company's investment returns and prevent the continuous accumulation of poor performance, thereby reducing crash risk. Our study suggests that continuing to implement the policy of attracting talent or managers with overseas experience will facilitate the stable development of the capital market. Furthermore, our study highlights that the CFO also plays a key role in a company's investment decisions.
{"title":"CFO overseas experience and stock price crash risk","authors":"Kai Tang , Yuxiang Cheng","doi":"10.1016/j.gfj.2025.101128","DOIUrl":"10.1016/j.gfj.2025.101128","url":null,"abstract":"<div><div>As globalization continues to expand, cross-border personnel exchanges are increasing. This paper uses a two-way fixed effects model to empirically study the influence of CFO overseas experience on stock price crash risk (hereafter, crash risk) on the basis of a sample of 4235 listed firms in China's A-share market between 2003 and 2024. We find that CFOs with overseas experience possess greater expertise and skills, higher-order cognition, more effective cognitive structures, and lower overconfidence, which improve the company's investment returns and prevent the continuous accumulation of poor performance, thereby reducing crash risk. Our study suggests that continuing to implement the policy of attracting talent or managers with overseas experience will facilitate the stable development of the capital market. Furthermore, our study highlights that the CFO also plays a key role in a company's investment decisions.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"66 ","pages":"Article 101128"},"PeriodicalIF":5.5,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144166655","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 : 2025-05-01Epub Date: 2025-04-09DOI: 10.1016/j.gfj.2025.101110
Joseph DeCoste
This paper tests the existence of excessive comovement among firms in the S&P 500. Using a fuzzy regression discontinuity approach I show that membership in the S&P 500 leads to significant positive excess comovement in the long term. I evaluate a traditional, liquidity based explanation and a friction based explanation, and find no evidence that liquidity is driving excess comovement in the sample. I show that the previous lack of evidence for excess comovement shown in Chen, Singal, Whitelaw (2016) is due to heterogeneous effects on firms who are newly included versus those that are established members. One potential explanation is that immediately after inclusion, investors take time to rebalance and fully integrate the new stock into the group, reducing observed increases in comovement in the short term. These results constitute new evidence of frictions when exposed to large classes of noise traders with correlated demands, such as those populating the S&P 500.
{"title":"Comovement and S&P 500 membership","authors":"Joseph DeCoste","doi":"10.1016/j.gfj.2025.101110","DOIUrl":"10.1016/j.gfj.2025.101110","url":null,"abstract":"<div><div>This paper tests the existence of excessive comovement among firms in the S&P 500. Using a fuzzy regression discontinuity approach I show that membership in the S&P 500 leads to significant positive excess comovement in the long term. I evaluate a traditional, liquidity based explanation and a friction based explanation, and find no evidence that liquidity is driving excess comovement in the sample. I show that the previous lack of evidence for excess comovement shown in Chen, Singal, Whitelaw (2016) is due to heterogeneous effects on firms who are newly included versus those that are established members. One potential explanation is that immediately after inclusion, investors take time to rebalance and fully integrate the new stock into the group, reducing observed increases in comovement in the short term. These results constitute new evidence of frictions when exposed to large classes of noise traders with correlated demands, such as those populating the S&P 500.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"65 ","pages":"Article 101110"},"PeriodicalIF":5.5,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143816709","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 : 2025-05-01Epub Date: 2025-04-09DOI: 10.1016/j.gfj.2025.101112
Selahattin Murat Sirin
The green and digital transitions (twin transitions) are reshaping the global business environment, yet academic research exploring the financial implications of the green-digital nexus remains limited. This paper explores the financial implications of a key mechanism within the green-digital nexus, technological connectedness through knowledge creation and spillovers. Quantified through patent data between 2010 and 2022, this study examines how tech firms' financial performance is affected by knowledge creation and spillovers to green (technologies related to clean energy) and brown (technologies related to fossil fuels) domains using portfolio- and firm-level analyses with panel data regression models. The results indicate that financial connectedness is not straightforward, contrary to findings from aggregate level studies in the literature. While firm-level heterogeneity in knowledge creation does affect returns, there is no conclusive evidence that knowledge spillovers affect financial performance.
{"title":"The green transition and tech firms' financial performance: Insights from patent data","authors":"Selahattin Murat Sirin","doi":"10.1016/j.gfj.2025.101112","DOIUrl":"10.1016/j.gfj.2025.101112","url":null,"abstract":"<div><div>The green and digital transitions (twin transitions) are reshaping the global business environment, yet academic research exploring the financial implications of the green-digital nexus remains limited. This paper explores the financial implications of a key mechanism within the green-digital nexus, technological connectedness through knowledge creation and spillovers. Quantified through patent data between 2010 and 2022, this study examines how tech firms' financial performance is affected by knowledge creation and spillovers to green (technologies related to clean energy) and brown (technologies related to fossil fuels) domains using portfolio- and firm-level analyses with panel data regression models. The results indicate that financial connectedness is not straightforward, contrary to findings from aggregate level studies in the literature. While firm-level heterogeneity in knowledge creation does affect returns, there is no conclusive evidence that knowledge spillovers affect financial performance.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"65 ","pages":"Article 101112"},"PeriodicalIF":5.5,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143854592","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 : 2025-05-01Epub Date: 2025-03-30DOI: 10.1016/j.gfj.2025.101108
Yanyan Chen , Liubing Cheng
This study investigates the influence of CEO/CFO gender on corporate financial policies under uncertainty, including cash holdings, corporate investment, debt financing, and payout ratio. Using a sample of Chinese firms from 1999 to 2021, we find that during periods of high uncertainty, firms with female CEOs/CFOs do not exhibit greater risk aversion than those with male counterparts in financial activities. These findings persist even in firms with higher financial constraints or lower risk preferences. Our results remain robust when addressing model specification and endogeneity issues, controlling for other corporate financial behaviors and more executive characteristics, using alternative measures of uncertainty and corporate financial policies, and conducting sub-sample analysis. Overall, our findings suggest that gender differences in risk preferences might vanish in top management.
{"title":"Does executive gender matter for corporate financial policies under uncertainty?","authors":"Yanyan Chen , Liubing Cheng","doi":"10.1016/j.gfj.2025.101108","DOIUrl":"10.1016/j.gfj.2025.101108","url":null,"abstract":"<div><div>This study investigates the influence of CEO/CFO gender on corporate financial policies under uncertainty, including cash holdings, corporate investment, debt financing, and payout ratio. Using a sample of Chinese firms from 1999 to 2021, we find that during periods of high uncertainty, firms with female CEOs/CFOs do not exhibit greater risk aversion than those with male counterparts in financial activities. These findings persist even in firms with higher financial constraints or lower risk preferences. Our results remain robust when addressing model specification and endogeneity issues, controlling for other corporate financial behaviors and more executive characteristics, using alternative measures of uncertainty and corporate financial policies, and conducting sub-sample analysis. Overall, our findings suggest that gender differences in risk preferences might vanish in top management.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"65 ","pages":"Article 101108"},"PeriodicalIF":5.5,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143747675","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 : 2025-05-01Epub Date: 2025-03-04DOI: 10.1016/j.gfj.2025.101100
S. Mehmet Özsoy, Mehdi Rasteh, Erkan Yönder
Unlike other climate shocks, droughts are slow and silent, and their impacts are not immediate. We define a two-year drought shock at the bank level and quantify the impact of droughts on bank stability and performance. Applying a difference-in-differences methodology, we find drought shocks to significantly worsen Z-Score, return on assets, and stock volatility. Non-performing loans of affected banks are significantly higher compared to unaffected banks. The economic impacts are comparable to those associated with a 1 % decline in unemployment rate. We also document that affected banks close branches in drought-hit regions but do not increase their capital ratios.
{"title":"Understanding drought shocks: Bank financial stability and loan performance","authors":"S. Mehmet Özsoy, Mehdi Rasteh, Erkan Yönder","doi":"10.1016/j.gfj.2025.101100","DOIUrl":"10.1016/j.gfj.2025.101100","url":null,"abstract":"<div><div>Unlike other climate shocks, droughts are slow and silent, and their impacts are not immediate. We define a two-year drought shock at the bank level and quantify the impact of droughts on bank stability and performance. Applying a difference-in-differences methodology, we find drought shocks to significantly worsen <em>Z</em>-Score, return on assets, and stock volatility. Non-performing loans of affected banks are significantly higher compared to unaffected banks. The economic impacts are comparable to those associated with a 1 % decline in unemployment rate. We also document that affected banks close branches in drought-hit regions but do not increase their capital ratios.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"65 ","pages":"Article 101100"},"PeriodicalIF":5.5,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143580505","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-01Epub Date: 2025-02-24DOI: 10.1016/j.gfj.2025.101099
Neha Malik , Smita Kashiramka
This paper examines the impact of sustainable practices proxied by environment, social and governance (ESG) disclosures on accounting-based and market-based leverage ratios. Additionally, it explores the moderating effects of financial reporting quality (FRQ) and financial constraints (FC) on the ESG-leverage nexus. Leveraging data from 2700 non-financial firms across 16 emerging nations over 8 years from 2015 to 2022, the findings indicate that firms with higher ESG scores exhibit greater book and market leverage. This implies that ESG disclosures provide additional valuable information that reduces information asymmetry and aligns with lenders' expectations. The positive association between ESG and leverage is more pronounced for firms with lower FRQ and those facing higher FC. Findings are robust to different sensitivity tests, including lagged regressions to mitigate reverse causality, 2SLS and system GMM regression to address endogeneity concerns, and tests with alternate variables, samples and time periods. These findings offer valuable insights for policymakers, managers, lenders and investors, guiding policy development, corporate strategy and investment decisions. Overall, this paper highlights the crucial role of ESG and high-quality financial reporting in shaping the capital structure dynamics of firms in emerging markets.
{"title":"“ESG disclosure and its impact on firm leverage: Moderating role of quality of financial reporting and financial constraints”","authors":"Neha Malik , Smita Kashiramka","doi":"10.1016/j.gfj.2025.101099","DOIUrl":"10.1016/j.gfj.2025.101099","url":null,"abstract":"<div><div>This paper examines the impact of sustainable practices proxied by environment, social and governance (ESG) disclosures on accounting-based and market-based leverage ratios. Additionally, it explores the moderating effects of financial reporting quality (FRQ) and financial constraints (FC) on the ESG-leverage nexus. Leveraging data from 2700 non-financial firms across 16 emerging nations over 8 years from 2015 to 2022, the findings indicate that firms with higher ESG scores exhibit greater book and market leverage. This implies that ESG disclosures provide additional valuable information that reduces information asymmetry and aligns with lenders' expectations. The positive association between ESG and leverage is more pronounced for firms with lower FRQ and those facing higher FC. Findings are robust to different sensitivity tests, including lagged regressions to mitigate reverse causality, 2SLS and system GMM regression to address endogeneity concerns, and tests with alternate variables, samples and time periods. These findings offer valuable insights for policymakers, managers, lenders and investors, guiding policy development, corporate strategy and investment decisions. Overall, this paper highlights the crucial role of ESG and high-quality financial reporting in shaping the capital structure dynamics of firms in emerging markets.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"65 ","pages":"Article 101099"},"PeriodicalIF":5.5,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143508394","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 : 2025-05-01Epub Date: 2025-02-12DOI: 10.1016/j.gfj.2025.101087
Jian Song , Xiaozhou Zhou
This study examines the impact of foreign economic policy uncertainty (EPU) on the performance of domestic analyst earnings forecasts. We separately analyze how U.S. EPU affects the accuracy of analyst earnings forecasts in other markets and the reverse relationship. Our findings indicate that the U.S. EPU (non-U.S. Global EPU) negatively (positively) affects the accuracy of analyst earnings forecasts in other economies (the U.S.). We find that the economic dependency of a given economy on the U.S. (capital flow to the U.S.) is a channel for this negative (positive) impact. Our results remain robust after controlling for a comprehensive set of variables.
{"title":"How does foreign economic policy uncertainty affect domestic analyst earnings forecasts?","authors":"Jian Song , Xiaozhou Zhou","doi":"10.1016/j.gfj.2025.101087","DOIUrl":"10.1016/j.gfj.2025.101087","url":null,"abstract":"<div><div>This study examines the impact of foreign economic policy uncertainty (EPU) on the performance of domestic analyst earnings forecasts. We separately analyze how U.S. EPU affects the accuracy of analyst earnings forecasts in other markets and the reverse relationship. Our findings indicate that the U.S. EPU (non-U.S. Global EPU) negatively (positively) affects the accuracy of analyst earnings forecasts in other economies (the U.S.). We find that the economic dependency of a given economy on the U.S. (capital flow to the U.S.) is a channel for this negative (positive) impact. Our results remain robust after controlling for a comprehensive set of variables.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"65 ","pages":"Article 101087"},"PeriodicalIF":5.5,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143873752","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 : 2025-05-01Epub Date: 2025-03-18DOI: 10.1016/j.gfj.2025.101104
Ziwei Wang , Haijun Yang , Zhen Li
We reveal how technological innovation impacts cryptocurrency network operations and market information structures, using BRC-20 tokens as an example. By collecting on-chain blockchain data and exchange data from March 2023 to March 2024, we find that the introduction of BRC-20 tokens significantly alters Bitcoin transaction activity, manifests as a decrease in unique addresses, increased per-unit transaction fees, and extended confirmation times. Furthermore, we expand the research framework for Bitcoin market price efficiency by identifying market information, public information, private information, and noise in the Bitcoin market. We show that introducing BRC-20 tokens increases the market information share while reducing dependence on public information, with almost no negative impact on the share of private information. Finally, we construct a “technological innovation, blockchain response, market adjustment” dynamic analysis framework to evaluate and reveal that the Bitcoin network has significant self-healing capabilities and can quickly digest the impact of new types of tokens after major technical upgrades such as ORDI listing, announcing and launching the BRC-20 swap, and the Ordinals Jubilee update. This research provides investors with empirical evidence of the Bitcoin network's self-healing capabilities, helping them more accurately assess the short and long-term impacts of technological shocks on the market, thereby formulating more effective investment strategies.
{"title":"Will technological advancement affect Bitcoin trading and pricing? Evidence from BRC-20 tokens","authors":"Ziwei Wang , Haijun Yang , Zhen Li","doi":"10.1016/j.gfj.2025.101104","DOIUrl":"10.1016/j.gfj.2025.101104","url":null,"abstract":"<div><div>We reveal how technological innovation impacts cryptocurrency network operations and market information structures, using BRC-20 tokens as an example. By collecting on-chain blockchain data and exchange data from March 2023 to March 2024, we find that the introduction of BRC-20 tokens significantly alters Bitcoin transaction activity, manifests as a decrease in unique addresses, increased per-unit transaction fees, and extended confirmation times. Furthermore, we expand the research framework for Bitcoin market price efficiency by identifying market information, public information, private information, and noise in the Bitcoin market. We show that introducing BRC-20 tokens increases the market information share while reducing dependence on public information, with almost no negative impact on the share of private information. Finally, we construct a “technological innovation, blockchain response, market adjustment” dynamic analysis framework to evaluate and reveal that the Bitcoin network has significant self-healing capabilities and can quickly digest the impact of new types of tokens after major technical upgrades such as ORDI listing, announcing and launching the BRC-20 swap, and the Ordinals Jubilee update. This research provides investors with empirical evidence of the Bitcoin network's self-healing capabilities, helping them more accurately assess the short and long-term impacts of technological shocks on the market, thereby formulating more effective investment strategies.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"65 ","pages":"Article 101104"},"PeriodicalIF":5.5,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143684574","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 : 2025-05-01Epub Date: 2025-03-28DOI: 10.1016/j.gfj.2025.101107
Francesco Guidi, Giuseppina Madonia, Sohan Sarwar
Equity market linkages are of interest to international investors aiming at diversifying their equity portfolio holdings. In fact, the benefit of equity portfolio diversification across different international markets depends on whether markets are integrated or segmented. To discern whether there are any potential benefits to diversification, we investigate the degree of integration across the equity markets of selected Latin American countries (that is, Argentina, Brazil, Chile, Colombia and Peru) by applying dynamic and static cointegration techniques to the largest equity markets of that region. Our aim is to find out whether these equity markets enjoy a long-run relationship as a whole, at the sectoral level, or if they follow different trends. We use weekly equity prices between 2005 and 2023, which marked the end of the Covid-19 pandemic. Our findings suggest that the equity markets are not, as a whole, integrated – with the exception of periods of financial distress. This indicates that there is some potential for international portfolio diversification across Latin American equity markets. On the other hand, our sectoral analysis points to specific diversification opportunities across most of the sectors.
{"title":"Equity market linkages across Latin American countries","authors":"Francesco Guidi, Giuseppina Madonia, Sohan Sarwar","doi":"10.1016/j.gfj.2025.101107","DOIUrl":"10.1016/j.gfj.2025.101107","url":null,"abstract":"<div><div>Equity market linkages are of interest to international investors aiming at diversifying their equity portfolio holdings. In fact, the benefit of equity portfolio diversification across different international markets depends on whether markets are integrated or segmented. To discern whether there are any potential benefits to diversification, we investigate the degree of integration across the equity markets of selected Latin American countries (that is, Argentina, Brazil, Chile, Colombia and Peru) by applying dynamic and static cointegration techniques to the largest equity markets of that region. Our aim is to find out whether these equity markets enjoy a long-run relationship as a whole, at the sectoral level, or if they follow different trends. We use weekly equity prices between 2005 and 2023, which marked the end of the Covid-19 pandemic. Our findings suggest that the equity markets are not, as a whole, integrated – with the exception of periods of financial distress. This indicates that there is some potential for international portfolio diversification across Latin American equity markets. On the other hand, our sectoral analysis points to specific diversification opportunities across most of the sectors.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"65 ","pages":"Article 101107"},"PeriodicalIF":5.5,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143769304","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-01Epub Date: 2025-02-16DOI: 10.1016/j.gfj.2025.101094
Saswat Patra , Kunjana Malik
This study examines return and volatility connectedness among major Latin American markets and the US using the Quantile Vector Autoregression (QVAR) approach. We analyze spillovers at the median and extreme tails. Results reveal moderate integration at the median, with higher interconnectedness at both tails. We find that volatility spillovers are slightly greater at right tails, and spillovers peaked during the 2008 Global Financial Crisis. Return spillovers generally exceed volatility spillovers. Argentina and Chile are net receivers, while Brazil, Mexico, and the US are net transmitters. Based on the Minimum Connectedness Portfolio and the dynamic hedge ratio, Chile offers the cheapest hedge, while US is the most effective for risk reduction.
{"title":"Return and volatility connectedness among US and Latin American markets: A QVAR approach with implications for hedging and portfolio diversification","authors":"Saswat Patra , Kunjana Malik","doi":"10.1016/j.gfj.2025.101094","DOIUrl":"10.1016/j.gfj.2025.101094","url":null,"abstract":"<div><div>This study examines return and volatility connectedness among major Latin American markets and the US using the Quantile Vector Autoregression (QVAR) approach. We analyze spillovers at the median and extreme tails. Results reveal moderate integration at the median, with higher interconnectedness at both tails. We find that volatility spillovers are slightly greater at right tails, and spillovers peaked during the 2008 Global Financial Crisis. Return spillovers generally exceed volatility spillovers. Argentina and Chile are net receivers, while Brazil, Mexico, and the US are net transmitters. Based on the Minimum Connectedness Portfolio and the dynamic hedge ratio, Chile offers the cheapest hedge, while US is the most effective for risk reduction.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"65 ","pages":"Article 101094"},"PeriodicalIF":5.5,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143437747","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}
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