Journal of Multinational Financial Management最新文献

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Is the relationship between financial globalization and financial stability heterogeneous? Evidence from emerging markets and developing economies

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-01-31 DOI: 10.1016/j.mulfin.2025.100899

Sunny Kumar Singh , Salva

This paper examines the association between financial stability and financial globalization for 59 emerging markets and developing countries (EMDEs) from 2000 to 2019. Our findings from the baseline model reveal that the relationship between financial stability and financial globalization varies, depending on dimensions of financial globalization (overall, de facto, de jure) and financial stability. The relationship shows nonlinear and heterogeneous patterns across quantiles of financial stability, characterized by well-defined extreme points within the data range. Specifically, by employing panel quantile regression technique, we find that financially unstable countries (lower quantiles of financial stability) exhibit a U-shaped relationship between dimensions of financial globalization and financial stability. In comparison, an inverted U-shaped relationship appears for financially stable countries. Further, we find that countries with weak institutional and financial development exhibit U-shaped relations, experiencing initial instability followed by stability. Conversely, financial stability initially improves for countries with strong institutional and financial development but declines as integration deepens. These findings underscore the importance of strengthening institutions to harness the benefits of financial globalization while mitigating associated risks.

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引用次数: 0

Technical indicators and aggregate stock returns: An updated look

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-01-30 DOI: 10.1016/j.mulfin.2025.100898

Qi Shi

We provide updated analyses of technical indicators and aggregate stock return forecasting. We construct 105 new technical indicators as big data predictors and adopt eight advanced shrinkage methods in our forecasting analyses. Our evidence suggests that the refinements of 105 technical factors successfully overcome those of Neely et al.’s (2014) 14 technical variables to a large extent and challenge the forecasting role of Welch and Goyal's (2008) 14 popular macroeconomic variables when ENet and Lasso are used. The excellent performance of the forecasting information based on 105 technical indicators generates sufficiently high in-sample and out-of-sample R-squared values and economically sizable gains in forecasting the excess returns of the composite Standard & Poor 500 market. The corresponding evidence remains robust to changes in the business cycle, forecasting horizons, and alternative evaluation periods.

引用次数: 0

Institutional quality distance, foreign bank presence and domestic bank efficiency: Cross-country evidence

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-01-07 DOI: 10.1016/j.mulfin.2025.100897

Xiaohui Yuan

Despite the importance of institutional environment during bank internationalization, little is known about how the institutional quality distance between host and home markets influences the impact of foreign bank presence on the host market. Using a bank-level panel dataset of 5256 banks from 2017 to 2021, this study finds that institutional quality distance helps mitigate domestic banks’ efficiency losses from foreign bank presence. Moreover, the mitigating effect of institutional quality distance is independent of whether the home countries of foreign banks are institutionally more or less developed. We further observe that the moderating role of institutional quality distance varies across the dimensions of legal, political, regulatory, and economic institutions. Overall, the findings suggest that although foreign bank presence generally hurts the local banking sector, relative institutional quality distance can provide leeway for domestic banks to build competitive advantages to better cope with competition from foreign entrants.

引用次数: 0

Event-driven changes in volatility connectedness in global forex markets

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-01-02 DOI: 10.1016/j.mulfin.2024.100896

Peter Albrecht , Evžen Kočenda

Using novel methods, we comprehensively analyze volatility connectedness among most traded currencies using high-frequency data from 2009 to 2023. Our study presents the first empirical evidence of a statistically significant association between increases in connectedness and endogenously selected impactful events for most traded currencies. Moreover, we uncover the previously unexplored relationship between twenty-three events affecting global forex connectedness up to one business month ahead and further analyze pre-event connectedness changes. We also distinguish between the transitory and permanent impacts of events on connectedness and confirm the association of four events with a permanent shift in connectedness; two events are associated with the EU and US debt crises. We compute the portfolio weights and hedge ratios for portfolio optimization and uncover the Swiss franc and Japanese yen as the most suitable tools for managing currency risk. The effects of intra-day currency depreciation versus appreciation against the U.S. dollar differ significantly, but the extent of asymmetries declines over time.

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引用次数: 0

Why do companies reincorporate abroad? Evidence from Europe

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2024-12-19 DOI: 10.1016/j.mulfin.2024.100895

Massimo Belcredi , Lara Faverzani , Andrea Signori

We take advantage of the institutional, fiscal, and regulatory differences across European countries to investigate why firms decide to reincorporate. Reincorporations within Europe have become increasingly common over the last decade, with Italy experiencing the largest outflow of firms and the Netherlands being the preferred destination. We investigate the expansion, tax saving, and regulatory arbitrage explanations. The evidence does not support the expansion and tax saving motivations as we observe no significant changes in firms’ investments and effective tax rates. On the other hand, we find that firms reincorporate in countries with a permissive legislative approach towards the adoption of control-enhancing mechanisms, as predicted by the regulatory arbitrage explanation. This is especially the case of Italian firms reincorporating in the Netherlands as they implement a degree of separation between ownership and control that goes beyond what their country of origin would allow. We discuss the governance implications of such decision.

引用次数: 0

Stock market returns and climate risk in the U.S.

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2024-11-28 DOI: 10.1016/j.mulfin.2024.100887

Yiyang Chen , Rogemar Mamon , Fabio Spagnolo , Nicola Spagnolo

Using a data set for all companies forming the S&P 500 index, we investigate the stock price responses to acute physical risks, chronic physical risks, and transition risks. Our findings reveal that certain sectors are more vulnerable to climate risks, whereas others appear to be relatively unaffected. In addition, our results show that listed firms with poor environmental performance scores are more exposed to climate risk, as indicated by their stock returns being negatively affected, compared to firms with higher environmental performance scores. This suggests that improving environmental performance may help companies to better cope with climate risks and improve their financial performances. Our analysis provides evidence that the short-term systematic risk is more vulnerable to the climate risk events, whereas effects on long-term systematic risk do not appear to be statistically significant. These findings indicate that investors and firms should pay a particular attention to short-term systematic risk when considering the potential impact of climate risk on stock market performances.

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引用次数: 0

Mutual fund flow-driven trading and the mispricing of cross-listed stocks 共同基金流量驱动交易与交叉上市股票的错误定价

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2024-11-23 DOI: 10.1016/j.mulfin.2024.100888

David Rakowski , J. David Diltz , Anh Tuan Nguyen

We explore cross-border divergence in pricing of cross-listed stocks driven by mutual fund flow–driven trading. Drawing on data from the US and forty-four international markets, we find the following: 1) Non-US stock returns are highly correlated with US stock returns and only weakly associated with liquidity-driven US-based mutual fund trading; 2) Approximately 69 % of the variation in non-US stock returns may be attributed to flow-driven trading, controlling for a variety of factors; 3) Stock return divergence is greater for small-cap, narrowly-held, and actively traded stocks; 4) Divergence is greater for stocks cross-listed in Latin American, Caribbean, and Asian-Pacific emerging markets; 5) Divergence is greater for stocks in funds experiencing outflows; and finally 6) Large outflows (i.e., fire sales) have no effect on price divergence across markets.

This draft: October 31, 2024

我们探讨了由共同基金流量驱动的交易导致的交叉上市股票定价的跨境分化。利用来自美国和 44 个国际市场的数据，我们发现了以下几点：1）非美股回报率与美股回报率高度相关，而与流动性驱动的美国共同基金交易仅有微弱关联；2）在控制各种因素的情况下，非美股回报率约 69% 的变化可归因于流动性驱动的交易；3) 小盘股、窄幅持股和交易活跃的股票回报率差异更大；4) 在拉丁美洲、加勒比海和亚太新兴市场交叉上市的股票回报率差异更大；5) 资金外流的基金中的股票回报率差异更大；最后，6) 资金大量外流（即 "资金外流"）。e.,本草案：2024 年 10 月 31 日

引用次数: 0

How informed are international short sellers? Global and local industry concentration of short sellers 国际卖空者的信息量有多大？做空者的全球和本地行业集中度

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2024-11-12 DOI: 10.1016/j.mulfin.2024.100885

Truong X. Duong , Zsuzsa R. Huszár , Ruth S.K. Tan

Internationally, documenting the information content from short sellers at the stock level is rather challenging because of various direct and indirect short sale constraints as suggested by Boehmer et al. (2022). To account for stock level short sale constraints and the cross-country variation in short sale feasibility, we focus on short sellers’ information at the aggregate industry and country levels and show that the value-weighted portfolio consisting of stocks from the topmost shorted and top three most shorted industries are associated with 45 bps and 42 bps lower returns over the next 20 days in a sample of 37 countries. The aggregate industry level also shows significant negative information from short sellers in more countries compared to Boehmer et al. (2022), especially in less developed markets. In addition to the industry information, we also find market level information from short sellers and show that high short selling predicts lower future market returns when short sellers target the country’s largest industries. We furthermore document evidence of short sellers' role in global information propagation.

在国际上，由于 Boehmer 等人（2022 年）提出的各种直接和间接卖空限制，在股票层面记录卖空者的信息内容相当具有挑战性。为了考虑股票层面的卖空限制和卖空可行性的跨国差异，我们重点研究了卖空者在总体行业和国家层面的信息，结果表明，在 37 个国家的样本中，由做空最多行业和做空最多行业前三名的股票组成的价值加权投资组合在未来 20 天内的回报率分别低 45 个基点和 42 个基点。与 Boehmer 等人（2022 年）的研究相比，更多国家的总体行业水平也显示出来自做空者的显著负面信息，尤其是在欠发达市场。除行业信息外，我们还发现了来自做空者的市场层面信息，并表明当做空者以国家最大的行业为目标时，高卖空率可预测未来较低的市场回报。我们还记录了卖空者在全球信息传播中发挥作用的证据。

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引用次数: 0

Does China’s social credit system construction promote foreign bank expansion? 中国的社会信用体系建设是否促进了外资银行的扩张？

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2024-11-09 DOI: 10.1016/j.mulfin.2024.100886

Xifang Sun, Tianjian Yang, Liyu Liu

Information asymmetry is one of the significant barriers to the development of multinational banks. This paper examines the impact of China’s social credit system construction in pilot cities and the privatization of credit reporting on the expansion of foreign banks. The findings indicate that the upgrading of China’s social credit system significantly promotes the expansion of foreign banks. Foreign banks establish more business branches in pilot cities and cities with higher levels of privatization in credit reporting systems. The mechanism lies in the fact that the development of the credit reporting system alleviates the information asymmetry for foreign banks. Further analysis reveals that this effect is particularly applicable to foreign banks from European and American markets, globally systemically important banks, cities with high financial development, and regional central cities. This study provides evidence from the perspective of credit reporting system reform to facilitate foreign bank expansion.

信息不对称是跨国银行发展的重要障碍之一。本文研究了中国试点城市社会信用体系建设和征信民营化对外资银行扩张的影响。研究结果表明，中国社会信用体系的升级显著促进了外资银行的扩张。外资银行在试点城市和征信体系民营化程度较高的城市设立了更多的营业网点。其机理在于征信系统的发展缓解了外资银行的信息不对称。进一步的分析表明，这种效应尤其适用于来自欧美市场的外资银行、全球系统重要性银行、金融高度发达的城市以及区域中心城市。本研究从征信系统改革的角度为促进外资银行扩张提供了证据。

引用次数: 0

Directors appointed by non-state shareholders and stock price synchronicity: Evidence from Chinese SOEs 非国有股东任命的董事与股价同步性：中国国有企业的证据

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2024-11-02 DOI: 10.1016/j.mulfin.2024.100884

Zongtao Tian, Zhibin Chen, Xinxue Chang

Do non-state shareholders who are given more boardroom "voice" inhibit stock price synchronicity? Utilizing panel data for Chinese enterprises spanning 2007–2021, we explore the impact of directors appointed by foreign shareholders and non-foreign shareholders on stock price synchronicity. Our findings indicate that directors appointed by non-state shareholders are negatively related to stock price synchronicity. Compared with directors appointed by non-foreign shareholders, directors appointed by foreign shareholders exert more effective governance effects and reduce stock price synchronicity. Compared with directors appointed by non-foreign shareholders, directors appointed by foreign shareholders exert a more effective information effect, resulting in lower share price synchronicity. Heterogeneous analyses reveal that this impact is more pronounced in non-multinational enterprises, and enterprises with foreign directors. Furthermore, directors appointed by non-state shareholders reduce stock price synchronicity mainly through the information effect.

获得更多董事会 "话语权 "的非国有股东是否会抑制股价同步性？利用 2007-2021 年中国企业的面板数据，我们探讨了外资股东和非外资股东委派董事对股价同步性的影响。我们的研究结果表明，非国有股东委派的董事与股价同步性负相关。与非外资股东任命的董事相比，外资股东任命的董事能发挥更有效的治理效果，降低股价同步性。与非外资股东任命的董事相比，外资股东任命的董事能发挥更有效的信息效应，从而降低股价同步性。异质性分析表明，这种影响在非跨国企业和有外籍董事的企业中更为明显。此外，非国有股东任命的董事主要通过信息效应降低股价同步性。

引用次数: 0

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