Global Finance Journal最新文献

英文中文

The impact of financial uncertainty on the price dynamics of global bond funds 金融不确定性对全球债券基金价格动态的影响

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-12-13 DOI: 10.1016/j.gfj.2025.101227

Zhuhua Jiang , Oguzhan Ozcelebi , Zheng Lü , Rim El Khoury , Seong-Min Yoon

This study examines how financial uncertainty shocks shape global bond funds’ return and volatility dynamics focusing on four key indicators: equity market volatility (VIX), bond market volatility (MOVE), central bank digital currency uncertainty (CBDCU) and geopolitical risk (GPR). Using weekly data from 2015 to 2024 across four major global bond funds (BNDX, TPINX, MGBIX and FGBFX), we employ a multi-method empirical framework that integrates TVP-SV-VAR, BEKK-multivariate generalised autoregressive conditional heteroscedasticity (MGARCH), CCC-MGARCH and wavelet quantile regression to capture time variation, volatility spillovers and distributional effects. The findings reveal heterogeneous and asymmetric responses to uncertainty shocks wherein MOVE and GPR exert persistent volatility effects, VIX generates short-term flight-to-safety flows and CBDCU introduces asymmetric risks through safe-haven dynamics and disintermediation. Fund behaviour is highly conditional—BNDX demonstrates temporary safe-haven behaviour under digital monetary shocks, MGBIX provides long-term diversification benefits, FGBFX serves as a conditional safe haven and TPINX disproportionately transmits shocks due to its emerging market (EM)/high-yield exposure. These results challenge the perception of global bond funds as uniformly defensive assets and underscore the importance of aligning fund selection with uncertainty source and investment horizon. Beyond investment insights, this study has relevant policy implications, indicating how CBDCU can be incorporated into regulatory stress tests, EM-focused funds require closer macro-prudential monitoring and policymakers should adapt liquidity and duration risk frameworks to evolving sources of systemic uncertainty.

本研究考察了金融不确定性冲击如何影响全球债券基金的回报和波动动态，重点关注四个关键指标：股票市场波动率（VIX）、债券市场波动率（MOVE）、央行数字货币不确定性（CBDCU）和地缘政治风险（GPR）。利用2015年至2024年全球四大债券基金（BNDX、TPINX、MGBIX和FGBFX）的每周数据，我们采用了一个多方法实证框架，该框架整合了TVP-SV-VAR、bekk -多元广义自回归条件异方差（MGARCH）、cc -MGARCH和小波分位数回归，以捕捉时间变化、波动溢出和分布效应。研究结果揭示了对不确定性冲击的异质和不对称反应，其中MOVE和GPR发挥持续波动效应，VIX产生短期避险资金，CBDCU通过避险动态和脱中介引入不对称风险。基金行为是高度有条件的——bndx在数字货币冲击下表现出暂时的避险行为，MGBIX提供长期多元化收益，FGBFX作为有条件的避险天堂，TPINX由于其新兴市场(EM)/高收益敞口而不成比例地传递冲击。这些结果挑战了全球债券基金作为统一防御资产的看法，并强调了将基金选择与不确定性来源和投资范围相一致的重要性。除了投资见解之外，本研究还具有相关的政策含义，表明CBDCU如何纳入监管压力测试，新兴市场基金需要更密切的宏观审慎监测，政策制定者应根据不断变化的系统性不确定性来源调整流动性和持续时间风险框架。

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引用次数: 0

The rare disaster concern index: RIX 罕见灾害关注指数：RIX

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-12-02 DOI: 10.1016/j.gfj.2025.101226

Weihan Li , Jin E. Zhang , Xinfeng Ruan , Pakorn Aschakulporn

This study aims to deepen the understanding of the Rare Disaster Concern Index (

R I X

) by redefining its concept, developing its exact model within the Gram–Charlier density, and constructing its time series to enhance its theoretical foundation and numerical application in capturing extreme market risks. Through comparative analysis with conventional indices across various term structures, we uncover the capability of the

R I X

in reflecting higher-order risks in financial markets. Our findings demonstrate the heightened sensitivity of the

R I X

to extreme market movements, especially within the left lower range, emphasizing its importance in strategic risk management and investment decision-making.

本研究旨在通过重新定义罕见灾害关注指数（RIX）的概念，建立其在Gram-Charlier密度内的精确模型，构建其时间序列来加深对其的理解，以增强其在捕捉极端市场风险方面的理论基础和数值应用。通过与不同期限结构的传统指数的比较分析，我们揭示了RIX在反映金融市场高阶风险方面的能力。我们的研究结果表明，RIX对极端市场波动的高度敏感性，特别是在左下角范围内，强调其在战略风险管理和投资决策中的重要性。

引用次数: 0

Measuring climate attention from investor queries: How textual signals drive green innovation 从投资者询问中衡量气候关注：文本信号如何推动绿色创新

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-11-28 DOI: 10.1016/j.gfj.2025.101224

Cheng Zhang , Menghan Li , Zhuoer Yang , Cheng Liu

This study examines how retail investors' climate attention influences corporate green innovation using data from Chinese A-share listed firms from 2013 to 2023. We construct a novel measure of climate attention referencing investor interaction platforms and a climate-related dictionary, which captures firm-level retail investors' climate attention more precisely than existing search-based measures. Empirical results reveal that strong climate attention from investors considerably enhances the quantity and quality of corporate green innovation. The mechanism analysis reveals that this effect operates by boosting managerial awareness, media focus, and analyst coverage of climate-related issues. Notably, we further demonstrate that CEOs' green experience constitutes a key boundary condition. When CEOs lack such experience, investor attention has a more prominent influence on motivating green innovation. These findings demonstrate that retail investors are a unique monitoring force and they underscore the importance of managerial backgrounds in shaping firms' responses to climate change.

本文利用2013 - 2023年中国a股上市公司的数据，考察了散户投资者的气候关注对企业绿色创新的影响。我们参考投资者互动平台和气候相关词典构建了一个新的气候关注度量，它比现有的基于搜索的度量更准确地捕获公司层面散户投资者的气候关注。实证结果表明，投资者强烈的气候关注显著提高了企业绿色创新的数量和质量。机制分析表明，这种效应通过提高管理意识、媒体关注和分析师对气候相关问题的报道来发挥作用。值得注意的是，我们进一步证明了ceo的绿色经验构成了一个关键的边界条件。当ceo缺乏此类经验时，投资者关注对激励绿色创新的影响更为突出。这些发现表明，散户投资者是一种独特的监督力量，它们强调了管理背景在塑造公司应对气候变化方面的重要性。

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引用次数: 0

Climate risk and asset-liability maturity mismatches 气候风险与资产负债期限错配

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-11-27 DOI: 10.1016/j.gfj.2025.101223

WeiWei Li , Prasad Padmanabhan , Chia-Hsing Huang

This paper aims to investigate how climate change risks affect firms’ financing and investment decisions. Using annual data from Chinese firms listed on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2021, this study finds a statistically significant positive relationship between firm-level climate risk and asset-liability maturity mismatches, even after multiple robustness tests. Climate risks heighten mismatches by tightening financial constraints, worsening information asymmetry between insiders and outsiders, and increasing environmental, social, and governance-related investments. The effect is stronger among firms with weak banking relationships, no political connections, fewer institutional investors, smaller size, nonstate ownership, heavy pollution output, and higher proportions of female managers. Results further show that transition (policy) risks—rather than physical risks—drive the increase in mismatches. Finally, the 2015 Paris Climate Agreement appears to have weakened this linkage.

本文旨在探讨气候变化风险如何影响企业的融资和投资决策。利用2007年至2021年在上海和深圳证券交易所上市的中国公司的年度数据，本研究发现，即使经过多次稳健性检验，公司层面的气候风险与资产负债期限错配之间存在统计学上显著的正相关关系。气候风险加剧了金融约束，加剧了内部和外部之间的信息不对称，增加了与环境、社会和治理相关的投资，从而加剧了错配。在银行关系薄弱、没有政治联系、机构投资者较少、规模较小、非国有所有制、污染严重、女性经理比例较高的企业中，这种影响更强。结果进一步表明，过渡（政策）风险——而不是物理风险——导致了错配的增加。最后，2015年的《巴黎气候协定》似乎削弱了这种联系。

引用次数: 0

From corporate responsibility to corporate sustainability: A study of how ESG mitigates corporate default risk using serial mediation analysis 从企业责任到企业可持续性：ESG如何缓解企业违约风险的序列中介分析

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-11-26 DOI: 10.1016/j.gfj.2025.101225

Naresh Chandra Sahu, Abhisek Mahanta, Nihar Ranjan Jena

This study investigates how Environmental, Social, and Governance (ESG) performance is linked to the corporate default risk. Using listed Indian firms from 2016 to 2024, this study finds that ESG performance and its individual dimensions are negatively related to default risk via improved Altman Z-score. The advanced serial mediation analysis using the PROCESS model 6 suggests that ESG information is transmitted to lower default risk via enhanced corporate efficiency (CEF), improved financial performance indicated by return on assets (ROA), and lowered the cost of borrowing indicated by the cost of debt (COD). Applying the Propensity Score Matching (PSM) and Difference-in-Difference (DID) technique, this study also documents that firms that are part of the NIFTY100ESG index have significantly better financial resilience than companies not part of the index after the COVID-19 crisis. Through ex-post analysis in the case of defaulted firms, this study finds that ESG performance can predict corporate default events if combined with other parameters effectively. The findings supported by the legitimacy theory indicate that firms can increase corporate sustainability and legitimacy not only through improvements in corporate efficiency and profitability but also through external perceptions, responsibility, and ethical practices, which function as an ‘insurance effect’. Thus, policymakers should encourage lenders to integrate ESG factors into business models and promote sustainable business practices to reduce financial risks. This will accelerate the firms' adoption of cleaner technologies, enhance governance standards, and strengthen overall financial stability and corporate sustainability.

本研究探讨了环境、社会和治理（ESG）绩效与企业违约风险之间的关系。本文以2016 - 2024年的印度上市公司为研究对象，通过提高Altman Z-score，发现ESG绩效及其个体维度与违约风险呈负相关。使用PROCESS模型6的高级序列中介分析表明，ESG信息通过提高企业效率（CEF）、改善资产收益率（ROA）和降低债务成本（COD）来传递，从而降低违约风险。运用倾向得分匹配（PSM）和差分法（DID）技术，本研究还证明，在2019冠状病毒病危机后，纳入NIFTY100ESG指数的公司的财务弹性明显优于未纳入该指数的公司。通过对违约企业的事后分析，本研究发现，如果与其他参数相结合，ESG绩效可以有效地预测企业违约事件。合法性理论支持的研究结果表明，企业不仅可以通过提高企业效率和盈利能力来提高企业的可持续性和合法性，还可以通过外部感知、责任和道德实践来提高企业的可持续性和合法性，这些都起到了“保险效应”的作用。因此，政策制定者应鼓励贷款机构将ESG因素纳入商业模式，促进可持续的商业实践，以降低金融风险。这将加速企业采用更清洁的技术，提高治理标准，并加强整体财务稳定性和企业可持续性。

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引用次数: 0

Prolonged Neobroker usage: Analyzing investment behavior and its impact on trading specific financial products 长期使用新经纪商：分析投资行为及其对特定金融产品交易的影响

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-11-24 DOI: 10.1016/j.gfj.2025.101222

Jonas Freibauer , Silja Grawert

We study the impact of prolonged trading app usage on the investment behavior of Neobroker users. Therefore, we use representative data for German Neobroker users and general investors from a panel survey conducted three times over a period of 14 months. We show that the financial literacy of Neobroker users increases with the prolonged trading app use but still remains rather low. The annual (non-risk adjusted) return of Neobroker users is generally positively affected by owning derivatives and frequent trading. In addition, we investigate which determinants impact Neobroker users to trade special ETFs, cryptocurrencies, derivatives, and ETCs. We found an impact of risk tolerance, risk assessment of respective financial products, and trading frequency on Neobroker users to hold specific financial products. Surprisingly, the investment information source also influences Neobroker users regarding the trading of all four products.

我们研究了长时间使用交易应用程序对Neobroker用户投资行为的影响。因此，我们使用了德国nebrobroker用户和一般投资者的代表性数据，这些数据来自一项为期14个月的三次小组调查。我们发现，随着交易应用程序使用时间的延长，Neobroker用户的金融知识水平会提高，但仍然相当低。Neobroker用户的年度（非风险调整）回报通常受到拥有衍生品和频繁交易的积极影响。此外，我们还调查了哪些决定因素会影响Neobroker用户交易特殊etf、加密货币、衍生品和etf。我们发现风险承受能力、各自金融产品的风险评估和交易频率对Neobroker用户持有特定金融产品的影响。令人惊讶的是，投资信息源也会影响Neobroker用户对所有四种产品的交易。

引用次数: 0

Predicting serial credit rating downgrades 预测连续信用评级下调

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-11-24 DOI: 10.1016/j.gfj.2025.101221

Lance Malone, Lee A. Smales, Zhangxin (Frank) Liu (Frank)

This paper examines the predictability and implications of sequential credit rating downgrades under the through-the-cycle rating methodology. Using 28,847 firm-year observations for North American corporates, we show that firms partway through downgrade sequences exhibit weaker fundamentals than non-downgraded peers with the same rating, implying interim ratings misstate credit risk. Predictive models of future downgrades achieve up to 75 % accuracy, with out-of-sample tests and feature-importance measures confirming robustness. A simple portfolio exercise illustrates economic significance. Our findings extend the literature on rating inertia and highlight the usefulness of credit-quality signals for anticipating rating actions.

本文研究了在全周期评级方法下，连续信用评级下调的可预测性和影响。通过对28,847家北美公司的年度观察，我们发现，处于降级序列中间的公司比具有相同评级的未降级同行表现出更弱的基本面，这意味着中期评级错误地反映了信用风险。未来降级的预测模型达到75%的准确率，样本外测试和特征重要性测量证实了稳健性。一个简单的投资组合练习说明了其经济意义。我们的研究结果扩展了关于评级惯性的文献，并强调了信用质量信号对预测评级行动的有用性。

引用次数: 0

Institutional openness and the labor income share of enterprises - A decade and a half of empirical evidence from China's free trade zones 制度开放与企业劳动收入占比——来自中国自贸区15年的经验证据

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-11-10 DOI: 10.1016/j.gfj.2025.101210

Tianchen Wang , Xuesong Wu , Qun Mi

This study uses data from publicly listed companies from 2008 to 2023 and treats the establishment of Free Trade Zones (FTZs) as a quasinatural experiment to examine how institutional openness affects the labor income share of enterprises. The results show that FTZs establishment significantly increases the labor income share of firms within these regions. Further analysis reveals two promotion channels: improvements in regional human capital structure and acceleration of technological innovation within enterprises. However, the rise in digitalization within FTZs can offset part of this positive effect. Heterogeneity analysis indicates that the impact is stronger for labor-intensive and nonstate-owned enterprises with higher levels of digitalization, higher wages in digital firms, and more advanced human capital structures.

本研究采用2008 - 2023年上市公司数据，以自贸区设立为准自然实验，考察制度开放对企业劳动收入占比的影响。结果表明，自贸区的建立显著提高了区内企业劳动收入占比。进一步分析发现，区域人力资本结构的改善和企业内部技术创新的加速是促进企业发展的两大途径。然而，自贸区内数字化的兴起可能会部分抵消这种积极影响。异质性分析表明，数字化水平越高、数字化企业的工资水平越高、人力资本结构越先进的劳动密集型企业和非国有企业的影响越强。

引用次数: 0

How does green industrial policy influence institutional investor ownership? Evidence from a quasi-natural experiment 绿色产业政策如何影响机构投资者所有权？来自准自然实验的证据

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-11-02 DOI: 10.1016/j.gfj.2025.101209

William Mbanyele , Ying Liu , Xinwei Qu , Hongyun Huang

This paper investigates whether institutional investors respond to green industrial policies. Although previous research has largely emphasized the adverse effects of climate risks on investor behavior, little evidence exists on how supportive policy shocks shape capital allocation. Using data from 3554 Chinese listed firms between 2013 and 2023, we assess whether institutional investors increase holdings in policy-endorsed firms. Results show that institutional investors substantially raise ownership in green factory firms, with stronger effects among both green-focused and general investors. Two mechanisms (i.e., signaling and strategic resource advantages) appear to drive this response. Moreover, policy-endorsed firms later exhibit higher firm value, better environmental disclosure quality, and greater environmental protection investment. These findings demonstrate that green industrial policies can redirect capital by influencing investor demand, providing timely evidence on the link between finance and sustainability.

本文考察了机构投资者对绿色产业政策的响应。尽管以往的研究主要强调气候风险对投资者行为的不利影响，但关于支持性政策冲击如何影响资本配置的证据很少。利用2013年至2023年3554家中国上市公司的数据，我们评估了机构投资者是否增持了政策支持公司的股份。结果表明，机构投资者大幅提高了绿色工厂企业的所有权，对绿色重点投资者和普通投资者的影响都更强。两种机制（即信号和战略资源优势）似乎推动了这种反应。政策支持型企业在后期表现出更高的企业价值、更好的环境信息披露质量和更大的环保投资。这些发现表明，绿色产业政策可以通过影响投资者需求来转移资本，为金融与可持续性之间的联系提供了及时的证据。

引用次数: 0

The spillover effect of core enterprises' ESG performance on node enterprises' debt financing costs 核心企业ESG绩效对节点企业债务融资成本的溢出效应

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-10-31 DOI: 10.1016/j.gfj.2025.101208

Qifa Xu , Changyu Ruan , Cuixia Jiang , Li Li

Despite growing attention to the impact of ESG performance on corporate finance, particularly debt financing costs at the firm level, spillover effects at the supply chain level remain underexplored. Using data from Chinese A-share listed companies over the 2012–2023 period, we build supply chain networks to examine the spillover effects of core enterprises' ESG performance to node enterprises. The empirical results confirm that core enterprises' good ESG performance can significantly reduce node enterprises' debt financing costs even after a series of robustness tests. This reduction effect is achieved through increasing the supply chain liquidity or reducing supply chain disruption risk. Heterogeneity analyses demonstrate that the reduction effect is more prominent when core and node enterprises share consistent characteristics and are located in different provinces. Overall, our findings advance the understanding of ESG spillover effects within supply chain networks and highlight supply chain ESG management's important role in corporate finance.

尽管越来越多的人关注ESG绩效对公司融资的影响，特别是公司层面的债务融资成本，但供应链层面的溢出效应仍未得到充分探讨。利用2012-2023年中国a股上市公司数据，构建供应链网络，考察核心企业ESG绩效对节点企业的溢出效应。经过一系列稳健性检验，实证结果证实，核心企业良好的ESG绩效能够显著降低节点企业的债务融资成本。这种减少效果是通过增加供应链流动性或降低供应链中断风险来实现的。异质性分析表明，当核心企业和节点企业具有相同的特征，且位于不同的省份时，减少效应更为突出。总体而言，我们的研究结果促进了对供应链网络中ESG溢出效应的理解，并突出了供应链ESG管理在企业融资中的重要作用。

引用次数: 0

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