Pub Date : 2026-01-06DOI: 10.1016/j.mulfin.2026.100945
Tianyu Zhang, Jiachen Wang
This study investigates whether and how physical climate risk affects the investment decisions of Qualified Foreign Institutional Investors (QFIIs). Using data from Chinese A-share listed firms between 2007 and 2022, we find that QFIIs’ investment reacts negatively to climate risk. This effect is more pronounced among firms with weaker governance, less geographic diversification, and among QFIIs with longer investment horizons or from common law countries. Mechanism analyses indicate that elevated operational and financial risks partly explain this tendency. In contrast to the main effect, domestic institutional investors show little response to climate risk, and QFIIs seem to be indifferent to climate policy risk. Our findings highlight the importance of climate risk in shaping cross-border investments and provide new insights into the role of foreign institutional investors in promoting sustainability in emerging markets.
{"title":"Do Qualified Foreign Institutional Investors (QFIIs) care about physical climate risk?","authors":"Tianyu Zhang, Jiachen Wang","doi":"10.1016/j.mulfin.2026.100945","DOIUrl":"10.1016/j.mulfin.2026.100945","url":null,"abstract":"<div><div>This study investigates whether and how physical climate risk affects the investment decisions of Qualified Foreign Institutional Investors (QFIIs). Using data from Chinese A-share listed firms between 2007 and 2022, we find that QFIIs’ investment reacts negatively to climate risk. This effect is more pronounced among firms with weaker governance, less geographic diversification, and among QFIIs with longer investment horizons or from common law countries. Mechanism analyses indicate that elevated operational and financial risks partly explain this tendency. In contrast to the main effect, domestic institutional investors show little response to climate risk, and QFIIs seem to be indifferent to climate policy risk. Our findings highlight the importance of climate risk in shaping cross-border investments and provide new insights into the role of foreign institutional investors in promoting sustainability in emerging markets.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"81 ","pages":"Article 100945"},"PeriodicalIF":4.0,"publicationDate":"2026-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145939078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-12DOI: 10.1016/j.mulfin.2025.100944
Sandra Ferreruela , Daniel Martín
This study investigates the relationship between short-horizon volatility and two distinct sources of microstructural information: executed order flow, measured by VPIN, and the latent order book structure, proxied by its SLOPE. While VPIN captures the realized trade imbalances, SLOPE acts as a proxy for aggregated "belief consensus." The objective is to systematically compare the relative importance of these mechanisms—realized flow versus latent consensus—as drivers and predictors of market volatility. Using tick-by-tick data and the full limit order book for 32 IBEX-35 constituents during the 2019–2020 period, we employ a multifaceted econometric approach in event-time (volume clock), combining stock-level regressions with random-effects meta-analysis, robust fixed-effects panels (Driscoll–Kraay), conditional-probability tables (CPTs), and stock-level VARs with Granger tests and meta-IRFs. Three main results emerge. First, we find that informed trading has a dual role: it helps build belief consensus in the book (H1a) while simultaneously consuming internal liquidity (depth) (H1b). Second, and most critically, belief consensus is a markedly superior predictor of subsequent volatility than VPIN; Conditional Probability Tables confirm that a high degree of consensus sharply increases the probability of the lowest-volatility state (H2). Third, VAR analysis reveals a unanimous, bidirectional, yet asymmetric loop: belief consensus robustly reduces volatility, while volatility, in turn, erodes consensus (H3). The causal links for VPIN, in contrast, are sporadic and size-dependent. Our results establish a new informational channel, demonstrating that the market's latent belief structure is a more potent and reliable determinant of short-term risk than the realized toxicity of order flow.
{"title":"Informed trading, investor beliefs consensus and volatility: Evidence from the Limit Order Book dynamics during COVID-19 and short-selling ban","authors":"Sandra Ferreruela , Daniel Martín","doi":"10.1016/j.mulfin.2025.100944","DOIUrl":"10.1016/j.mulfin.2025.100944","url":null,"abstract":"<div><div>This study investigates the relationship between short-horizon volatility and two distinct sources of microstructural information: executed order flow, measured by VPIN, and the latent order book structure, proxied by its SLOPE. While VPIN captures the realized trade imbalances, SLOPE acts as a proxy for aggregated \"belief consensus.\" The objective is to systematically compare the relative importance of these mechanisms—realized flow versus latent consensus—as drivers and predictors of market volatility. Using tick-by-tick data and the full limit order book for 32 IBEX-35 constituents during the 2019–2020 period, we employ a multifaceted econometric approach in event-time (volume clock), combining stock-level regressions with random-effects meta-analysis, robust fixed-effects panels (Driscoll–Kraay), conditional-probability tables (CPTs), and stock-level VARs with Granger tests and meta-IRFs. Three main results emerge. First, we find that informed trading has a dual role: it helps build belief consensus in the book (H1a) while simultaneously consuming internal liquidity (depth) (H1b). Second, and most critically, belief consensus is a markedly superior predictor of subsequent volatility than VPIN; Conditional Probability Tables confirm that a high degree of consensus sharply increases the probability of the lowest-volatility state (H2). Third, VAR analysis reveals a unanimous, bidirectional, yet asymmetric loop: belief consensus robustly reduces volatility, while volatility, in turn, erodes consensus (H3). The causal links for VPIN, in contrast, are sporadic and size-dependent. Our results establish a new informational channel, demonstrating that the market's latent belief structure is a more potent and reliable determinant of short-term risk than the realized toxicity of order flow.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"81 ","pages":"Article 100944"},"PeriodicalIF":4.0,"publicationDate":"2025-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145798343","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-11-30DOI: 10.1016/j.mulfin.2025.100936
Keehwan Park , Long Kim Luong , Zhongzheng Fang
We present the first integrated VARX model for analyzing the flight-to-quality behaviour of stock, bond and currency in crises. Exogenous shocks to the system are stock market volatility and sovereign risk. We find that the impacts of two risk variables on stock and currency returns are negative and significant, due to an international flight-to-quality effect. The effects on the bond return are neutral due to the offsetting flight-to-quality within and between countries. In advanced economies, bond is a safe asset in stressed stock markets (e.g., Connolly et al., 2005). In emerging markets, a bond is not necessarily a safe asset. The effects of sovereign risk on currency are accelerated through its interaction with the stock risk. The currency market is more closely linked to the stock market than to the bond market in an emerging economy like Korea. Our integrated approach complements the prior dichotomised (single-equation) flight-to-quality literature (e.g., Connolly et al., 2005; Baur and Lucey, 2009; Corte et al., 2021).
{"title":"Stock and sovereign risks, and stock, bond and currency returns in crises in an emerging market: An integrated VARX model","authors":"Keehwan Park , Long Kim Luong , Zhongzheng Fang","doi":"10.1016/j.mulfin.2025.100936","DOIUrl":"10.1016/j.mulfin.2025.100936","url":null,"abstract":"<div><div>We present the first integrated VARX model for analyzing the flight-to-quality behaviour of stock, bond and currency in crises. Exogenous shocks to the system are stock market volatility and sovereign risk. We find that the impacts of two risk variables on stock and currency returns are negative and significant, due to an international flight-to-quality effect. The effects on the bond return are neutral due to the offsetting flight-to-quality within and between countries. In advanced economies, bond is a safe asset in stressed stock markets (e.g., Connolly et al., 2005). In emerging markets, a bond is not necessarily a safe asset. The effects of sovereign risk on currency are accelerated through its interaction with the stock risk. The currency market is more closely linked to the stock market than to the bond market in an emerging economy like Korea. Our integrated approach complements the prior dichotomised (single-equation) flight-to-quality literature (e.g., Connolly et al., 2005; Baur and Lucey, 2009; Corte et al., 2021).</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"81 ","pages":"Article 100936"},"PeriodicalIF":4.0,"publicationDate":"2025-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145705728","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-11-16DOI: 10.1016/j.mulfin.2025.100935
Van Ha Nguyen , Thanh Hang Nguyen , Ly Ho , Tung Lam Dang
This paper examines the influence of a firm’s ESG reputation risk on its cost of equity capital around the world. Employing a comprehensive sample of firms across 45 markets, it documents strong evidence that ESG reputation risk leads to a higher cost of equity capital. This result remains unchanged in various robustness checks, including use of alternative variable measures, different model specifications, alternative subsamples, and potential endogeneity concerns. Further analyses show that firms with less severe information asymmetry and lower levels of financial risk experience a more pronounced impact of ESG reputation risk on the cost of equity capital, thereby suggesting that information asymmetry and financial risk are two mechanisms through which ESG reputation risk affects the cost of equity capital. It also finds that the positive effect of ESG reputation risk on the cost of equity capital is stronger in markets with better financial development and higher governance quality.
{"title":"When reputation hurts: ESG risk and the cost of equity capital around the world","authors":"Van Ha Nguyen , Thanh Hang Nguyen , Ly Ho , Tung Lam Dang","doi":"10.1016/j.mulfin.2025.100935","DOIUrl":"10.1016/j.mulfin.2025.100935","url":null,"abstract":"<div><div>This paper examines the influence of a firm’s ESG reputation risk on its cost of equity capital around the world. Employing a comprehensive sample of firms across 45 markets, it documents strong evidence that ESG reputation risk leads to a higher cost of equity capital. This result remains unchanged in various robustness checks, including use of alternative variable measures, different model specifications, alternative subsamples, and potential endogeneity concerns. Further analyses show that firms with less severe information asymmetry and lower levels of financial risk experience a more pronounced impact of ESG reputation risk on the cost of equity capital, thereby suggesting that information asymmetry and financial risk are two mechanisms through which ESG reputation risk affects the cost of equity capital. It also finds that the positive effect of ESG reputation risk on the cost of equity capital is stronger in markets with better financial development and higher governance quality.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"80 ","pages":"Article 100935"},"PeriodicalIF":4.0,"publicationDate":"2025-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145578761","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-11-16DOI: 10.1016/j.mulfin.2025.100933
Wenjun Xue , Qiaotong Wu , Xin Zhang , Xiao Li
This study examines how geopolitical risk in the acquirer country affects the ownership sought in the outbound cross-border acquisitions. Using data from G7 countries over a period from 1991 to 2020, we find strong evidence that higher geopolitical risk in the acquirer country leads firms to seek higher ownership in cross-border acquisitions. This effect becomes stronger when the acquirer countries have better institutional quality. Furthermore, geopolitical uncertainty possesses a distinct nature from economic and political uncertainty (Cao et al., 2019). Finally, our findings survive a wide range of robustness tests.
本研究探讨了收购国的地缘政治风险如何影响境外跨境收购中寻求的所有权。利用1991年至2020年期间G7国家的数据，我们发现强有力的证据表明，收购国较高的地缘政治风险导致企业在跨境收购中寻求更高的所有权。当收购国的制度质量越好时，这种效应就越强。此外，地缘政治不确定性与经济和政治不确定性具有不同的性质（Cao et al., 2019）。最后，我们的发现经受住了广泛的稳健性测试。
{"title":"Geopolitical risk and ownership sought in outbound cross-border acquisitions: Evidence from G7 countries","authors":"Wenjun Xue , Qiaotong Wu , Xin Zhang , Xiao Li","doi":"10.1016/j.mulfin.2025.100933","DOIUrl":"10.1016/j.mulfin.2025.100933","url":null,"abstract":"<div><div>This study examines how geopolitical risk in the acquirer country affects the ownership sought in the outbound cross-border acquisitions. Using data from G7 countries over a period from 1991 to 2020, we find strong evidence that higher geopolitical risk in the acquirer country leads firms to seek higher ownership in cross-border acquisitions. This effect becomes stronger when the acquirer countries have better institutional quality. Furthermore, geopolitical uncertainty possesses a distinct nature from economic and political uncertainty (Cao et al., 2019). Finally, our findings survive a wide range of robustness tests.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"80 ","pages":"Article 100933"},"PeriodicalIF":4.0,"publicationDate":"2025-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145578760","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-11-15DOI: 10.1016/j.mulfin.2025.100934
Cuong Sy Vu , Quang Anh Nguyen , Hoa Thi Thanh Pham
This paper examines the impact of the COVID-19 pandemic on firm performance, emphasizing the moderating role of ownership structure among non-financial enterprises in Vietnam. Utilizing quarterly data spanning from 2010 to 2023, we analyze the responses of state-owned enterprises (SOEs) and foreign-owned enterprises (FOEs) to the economic disruptions induced by the pandemic. Employing a Difference-in-Differences analytical approach, our empirical findings reveal a significant negative effect of the COVID-19 pandemic on firm performance, as measured by return on assets (ROA). The adverse impact is particularly pronounced among SOEs, indicating their limited capacity to adapt swiftly to economic shocks. In contrast, FOEs demonstrate greater resilience, likely attributable to their stronger access to international markets, providing a buffer against pandemic-induced disruptions. These results highlight the critical importance of ownership structure in shaping firm resilience and performance during economic crises.
{"title":"The COVID-19 pandemic, ownership structure, and firm performance: New evidence from Vietnamese listed firms","authors":"Cuong Sy Vu , Quang Anh Nguyen , Hoa Thi Thanh Pham","doi":"10.1016/j.mulfin.2025.100934","DOIUrl":"10.1016/j.mulfin.2025.100934","url":null,"abstract":"<div><div>This paper examines the impact of the COVID-19 pandemic on firm performance, emphasizing the moderating role of ownership structure among non-financial enterprises in Vietnam. Utilizing quarterly data spanning from 2010 to 2023, we analyze the responses of state-owned enterprises (SOEs) and foreign-owned enterprises (FOEs) to the economic disruptions induced by the pandemic. Employing a Difference-in-Differences analytical approach, our empirical findings reveal a significant negative effect of the COVID-19 pandemic on firm performance, as measured by return on assets (ROA). The adverse impact is particularly pronounced among SOEs, indicating their limited capacity to adapt swiftly to economic shocks. In contrast, FOEs demonstrate greater resilience, likely attributable to their stronger access to international markets, providing a buffer against pandemic-induced disruptions. These results highlight the critical importance of ownership structure in shaping firm resilience and performance during economic crises.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"80 ","pages":"Article 100934"},"PeriodicalIF":4.0,"publicationDate":"2025-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145578759","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-11-10DOI: 10.1016/j.mulfin.2025.100932
Anh-Tuan Le, Thao Phuong Tran, Tran Dieu Tu Le
This paper examines how institutional democracy influences corporate carbon emissions using data from 10,427 firms across 53 countries between 2002 and 2021. The findings indicate that higher levels of democracy are associated with lower emissions, particularly in developed countries and after the Paris Agreement. Environmental, social, and governance (ESG) reputational risk may serve as a mechanism underlying this relationship. Moreover, the effect is more pronounced in countries with stronger regulatory enforcement, captured by environmental policy stringency and rule of law, or in those with more developed capital markets. The results are robust to endogeneity concerns, holding under alternative measures of carbon emissions, two-stage generalized method of moments (GMM) estimation, and an instrumental variable approach. Overall, the study provides valuable insights for policymakers and businesses, offering practical implications and contributing to a broader understanding of the institutional determinants of corporate environmental performance.
{"title":"Reputational risk and corporate carbon emissions reduction around the world: The democratic advantage","authors":"Anh-Tuan Le, Thao Phuong Tran, Tran Dieu Tu Le","doi":"10.1016/j.mulfin.2025.100932","DOIUrl":"10.1016/j.mulfin.2025.100932","url":null,"abstract":"<div><div>This paper examines how institutional democracy influences corporate carbon emissions using data from 10,427 firms across 53 countries between 2002 and 2021. The findings indicate that higher levels of democracy are associated with lower emissions, particularly in developed countries and after the Paris Agreement. Environmental, social, and governance (ESG) reputational risk may serve as a mechanism underlying this relationship. Moreover, the effect is more pronounced in countries with stronger regulatory enforcement, captured by environmental policy stringency and rule of law, or in those with more developed capital markets. The results are robust to endogeneity concerns, holding under alternative measures of carbon emissions, two-stage generalized method of moments (GMM) estimation, and an instrumental variable approach. Overall, the study provides valuable insights for policymakers and businesses, offering practical implications and contributing to a broader understanding of the institutional determinants of corporate environmental performance.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"80 ","pages":"Article 100932"},"PeriodicalIF":4.0,"publicationDate":"2025-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145525597","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-11-04DOI: 10.1016/j.mulfin.2025.100931
Xiaoyi Ren
This study investigates the impact of the China Securities Investor Services Center (CSISC)—a non-profit minority shareholder organization innovatively established by Chinese regulatory authorities—on corporate external guarantees, assessing its effectiveness in protecting minority shareholders. The results show that CSISC shareholding significantly reduces guarantees to non-subsidiaries, while its effect on guarantees to subsidiaries is not significant. The reduction is stronger in firms with higher leverage and lower profitability and is concentrated in related-party guarantees, indicating that CSISC shareholding mitigates riskier external guarantee practices. Channel tests reveal that this effect operates through both governance effect and a demonstration-guided effect. Further analysis indicates that the impact is more pronounced in firms audited by top-ten accounting firms and in regions with stronger legal standards.
{"title":"Non-profit minority institutional shareholder and corporate external guarantee","authors":"Xiaoyi Ren","doi":"10.1016/j.mulfin.2025.100931","DOIUrl":"10.1016/j.mulfin.2025.100931","url":null,"abstract":"<div><div>This study investigates the impact of the China Securities Investor Services Center (CSISC)—a non-profit minority shareholder organization innovatively established by Chinese regulatory authorities—on corporate external guarantees, assessing its effectiveness in protecting minority shareholders. The results show that CSISC shareholding significantly reduces guarantees to non-subsidiaries, while its effect on guarantees to subsidiaries is not significant. The reduction is stronger in firms with higher leverage and lower profitability and is concentrated in related-party guarantees, indicating that CSISC shareholding mitigates riskier external guarantee practices. Channel tests reveal that this effect operates through both governance effect and a demonstration-guided effect. Further analysis indicates that the impact is more pronounced in firms audited by top-ten accounting firms and in regions with stronger legal standards.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"80 ","pages":"Article 100931"},"PeriodicalIF":4.0,"publicationDate":"2025-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145465492","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-28DOI: 10.1016/j.mulfin.2025.100922
Dong-Hyeon Kim , Shu-Chin Lin , Peiyao Liu , Jiaqi Liu
Since the global financial crisis, the redistributive consequences of inflation have gained substantial attention. While income inequality has long dominated public discourse, wealth inequality, which is critical for shaping economic opportunities and political power, has been comparatively overlooked. This paper empirically examines how inflation affects wealth inequality, emphasizing the role of financial development. We focus on top wealth shares, as the recent surge in wealth inequality is largely driven by increasing concentration among a small elite. Using cross-country panel data, we find that inflation exacerbates wealth inequality by increasing top wealth shares while reducing those at the lower end of the distribution. These effects are mitigated by banking development but intensified by stock market development. Pathway analyses suggest that these impacts operate through entrepreneurship and asset prices. Financial reform policies that promote banking development and broaden access to stock markets may help mitigate inflation’s adverse effects on wealth inequality.
{"title":"Financial development and the nexus between inflation and wealth inequality","authors":"Dong-Hyeon Kim , Shu-Chin Lin , Peiyao Liu , Jiaqi Liu","doi":"10.1016/j.mulfin.2025.100922","DOIUrl":"10.1016/j.mulfin.2025.100922","url":null,"abstract":"<div><div>Since the global financial crisis, the redistributive consequences of inflation have gained substantial attention. While income inequality has long dominated public discourse, wealth inequality, which is critical for shaping economic opportunities and political power, has been comparatively overlooked. This paper empirically examines how inflation affects wealth inequality, emphasizing the role of financial development. We focus on top wealth shares, as the recent surge in wealth inequality is largely driven by increasing concentration among a small elite. Using cross-country panel data, we find that inflation exacerbates wealth inequality by increasing top wealth shares while reducing those at the lower end of the distribution. These effects are mitigated by banking development but intensified by stock market development. Pathway analyses suggest that these impacts operate through entrepreneurship and asset prices. Financial reform policies that promote banking development and broaden access to stock markets may help mitigate inflation’s adverse effects on wealth inequality.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"80 ","pages":"Article 100922"},"PeriodicalIF":4.0,"publicationDate":"2025-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144926675","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-07DOI: 10.1016/j.mulfin.2025.100921
Waqas Hanif , Rim El Khoury , Sinda Hadhri
This study examines the connectedness and spillover effects among G7 stock markets, oil and gold volatilities from January 1, 2017, to June 16, 2022. By employing an in-quantile spillover approach, the study contributes to the existing literature by providing a comprehensive analysis of the linkages between these markets. The findings reveal that spillover effects are highly dynamic and vary significantly across different quantiles of the return distribution. During periods of market turbulence—such as the Covid-19 pandemic, trade tensions, and geopolitical conflicts—spillover intensity increases, indicating heightened market interdependence. The Japanese stock market and Gold volatility index (GVX) consistently act as net recipients of shocks, whereas the stock markets of Canada, France, Germany, Italy, the UK, and the USA serve as net transmitters. While long-term diversification opportunities appear limited, gold and oil exhibit effective hedging properties for short-term investors across various market conditions. From a policy perspective, these findings underscore the importance of monitoring market interdependencies, particularly during crisis periods. Policymakers should implement coordinated strategies to mitigate systemic risks in financial markets, especially in times of heightened uncertainty. Investors should consider short-term hedging strategies using gold and oil to minimize risk exposure during market downturns. Furthermore, financial regulators in G7 countries should enhance surveillance mechanisms to preempt excessive spillovers that may threaten financial stability.
{"title":"Is connectedness between commodity volatility indices and G-7 stock market returns the same across return quantiles?","authors":"Waqas Hanif , Rim El Khoury , Sinda Hadhri","doi":"10.1016/j.mulfin.2025.100921","DOIUrl":"10.1016/j.mulfin.2025.100921","url":null,"abstract":"<div><div>This study examines the connectedness and spillover effects among G7 stock markets, oil and gold volatilities from January 1, 2017, to June 16, 2022. By employing an in-quantile spillover approach, the study contributes to the existing literature by providing a comprehensive analysis of the linkages between these markets. The findings reveal that spillover effects are highly dynamic and vary significantly across different quantiles of the return distribution. During periods of market turbulence—such as the Covid-19 pandemic, trade tensions, and geopolitical conflicts—spillover intensity increases, indicating heightened market interdependence. The Japanese stock market and Gold volatility index (GVX) consistently act as net recipients of shocks, whereas the stock markets of Canada, France, Germany, Italy, the UK, and the USA serve as net transmitters. While long-term diversification opportunities appear limited, gold and oil exhibit effective hedging properties for short-term investors across various market conditions. From a policy perspective, these findings underscore the importance of monitoring market interdependencies, particularly during crisis periods. Policymakers should implement coordinated strategies to mitigate systemic risks in financial markets, especially in times of heightened uncertainty. Investors should consider short-term hedging strategies using gold and oil to minimize risk exposure during market downturns. Furthermore, financial regulators in G7 countries should enhance surveillance mechanisms to preempt excessive spillovers that may threaten financial stability.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"79 ","pages":"Article 100921"},"PeriodicalIF":4.0,"publicationDate":"2025-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144852243","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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