Journal of Multinational Financial Management最新文献

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Informed trading, investor beliefs consensus and volatility: Evidence from the Limit Order Book dynamics during COVID-19 and short-selling ban 知情交易、投资者信念共识和波动性：来自COVID-19和卖空禁令期间限价订单动态的证据

IF 4 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-12-12 DOI: 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.

本研究探讨了短期波动率与微观结构信息的两个不同来源之间的关系：由VPIN测量的已执行订单流和由其斜率代表的潜在订单簿结构。VPIN捕获的是已实现的贸易不平衡，SLOPE则充当了汇总“信念共识”的代理。目的是系统地比较这些机制的相对重要性——已实现的流动与潜在的共识——作为市场波动的驱动因素和预测因素。利用2019-2020年期间32只IBEX-35成分股的逐次数据和完整限价单，我们在事件时间（量钟）中采用了多方面的计量经济学方法，将股票水平回归与随机效应荟萃分析、稳健的固定效应面板（Driscoll-Kraay）、条件概率表（cpt）以及股票水平var与格兰杰检验和元irf相结合。主要有三个结果。首先，我们发现知情交易具有双重作用：它有助于在账面上建立信念共识（H1a），同时消耗内部流动性（深度）（H1b）。其次，也是最关键的一点，信念共识在预测后续波动方面明显优于VPIN；条件概率表证实，高度的一致性会急剧增加最低波动状态（H2）的概率。第三，VAR分析揭示了一个一致的、双向的、但不对称的循环：信念共识有力地降低了波动性，而波动性反过来又侵蚀了共识（H3）。相比之下，VPIN的因果关系是零星的，且与规模有关。我们的研究结果建立了一个新的信息渠道，表明市场的潜在信念结构是一个更有效和可靠的短期风险的决定因素，而不是实现毒性的订单流。

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引用次数: 0

Stock and sovereign risks, and stock, bond and currency returns in crises in an emerging market: An integrated VARX model 新兴市场危机中的股票和主权风险以及股票、债券和货币回报：一个综合VARX模型

IF 4 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-11-30 DOI: 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).

我们提出了第一个集成的VARX模型，用于分析危机中股票，债券和货币的逃向优质行为。对金融体系的外部冲击是股市波动和主权风险。我们发现两个风险变量对股票和货币收益的影响是负的和显著的，由于国际逃往质量效应。由于国家内部和国家之间的避险效应，对债券回报的影响是中性的。在发达经济体，债券是承压股市中的安全资产（例如，Connolly等人，2005）。在新兴市场，债券未必是安全资产。主权风险与股票风险的相互作用加速了主权风险对货币的影响。在像韩国这样的新兴经济体，外汇市场与股市的联系比与债券市场的联系更紧密。我们的综合方法补充了先前的二分法（单方程）“逃向质量”文献（例如，Connolly等人，2005；Baur和Lucey, 2009； Corte等人，2021）。

引用次数: 0

When reputation hurts: ESG risk and the cost of equity capital around the world 声誉受损时：全球ESG风险与股权资本成本

IF 4 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-11-16 DOI: 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.

本文考察了全球范围内企业ESG声誉风险对其权益资本成本的影响。该研究对45个市场的公司进行了全面抽样，有力地证明了ESG声誉风险会导致更高的股权资本成本。该结果在各种鲁棒性检查中保持不变，包括使用替代变量测量，不同的模型规格，替代子样本和潜在的内质性问题。进一步分析表明，信息不对称程度越轻、财务风险水平越低的企业，ESG声誉风险对权益资本成本的影响越显著，这表明信息不对称和财务风险是ESG声誉风险影响权益资本成本的两种机制。研究还发现，在金融发展较好、治理质量较高的市场中，ESG声誉风险对权益资本成本的正向影响更强。

引用次数: 0

Geopolitical risk and ownership sought in outbound cross-border acquisitions: Evidence from G7 countries 地缘政治风险与对外跨境收购的所有权：来自G7国家的证据

IF 4 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-11-16 DOI: 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。

引用次数: 0

The COVID-19 pandemic, ownership structure, and firm performance: New evidence from Vietnamese listed firms 2019冠状病毒病大流行、股权结构与企业绩效：来自越南上市公司的新证据

IF 4 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-11-15 DOI: 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.

本文考察了COVID-19大流行对企业绩效的影响，强调了越南非金融企业股权结构的调节作用。利用2010年至2023年的季度数据，我们分析了国有企业（soe）和外资企业（foe）对疫情造成的经济中断的反应。采用差异中的差异分析方法，我们的实证研究结果显示，以资产回报率（ROA）衡量，COVID-19大流行对企业业绩产生了显著的负面影响。国有企业受到的负面影响尤为明显，这表明它们迅速适应经济冲击的能力有限。相比之下，发达国家表现出更强的复原力，这可能是由于它们更容易进入国际市场，为应对大流行造成的中断提供了缓冲。这些结果强调了所有权结构在经济危机期间塑造企业弹性和绩效方面的关键重要性。

引用次数: 0

Reputational risk and corporate carbon emissions reduction around the world: The democratic advantage 全球声誉风险与企业碳减排：民主优势

IF 4 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-11-10 DOI: 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.

本文利用2002年至2021年间53个国家10427家公司的数据，研究了制度民主如何影响企业碳排放。研究结果表明，更高水平的民主与更低的排放有关，尤其是在发达国家和《巴黎协定》之后。环境、社会和治理（ESG）声誉风险可能是这种关系背后的一种机制。此外，在监管执法力度更强的国家（体现在环境政策严格和法治方面），或者在资本市场更发达的国家，这种影响更为明显。结果对内生性问题具有鲁棒性，在碳排放的替代措施，两阶段广义矩法（GMM）估计和工具变量方法下持有。总体而言，该研究为政策制定者和企业提供了有价值的见解，提供了实际意义，并有助于更广泛地了解企业环境绩效的制度决定因素。

引用次数: 0

Non-profit minority institutional shareholder and corporate external guarantee 非营利性少数机构股东与企业外部担保

IF 4 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-11-04 DOI: 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.

本研究考察中国证券投资者服务中心（CSISC）对公司外部担保的影响，评估其保护中小股东的有效性。结果表明，中企控股显著降低了对非子公司的担保，而对子公司担保的影响不显著。这种减少在杠杆率较高、盈利能力较低的公司中更为明显，且主要集中在关联方担保方面，表明中企担保公司的持股减轻了风险较高的外部担保做法。渠道检验表明，这种效应通过治理效应和示范引导效应两种方式发挥作用。进一步的分析表明，在由前十大会计师事务所审计的公司和法律标准较强的地区，这种影响更为明显。

引用次数: 0

Financial development and the nexus between inflation and wealth inequality 金融发展和通货膨胀与财富不平等之间的关系

IF 4 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-08-28 DOI: 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.

自全球金融危机爆发以来，通胀的再分配后果获得了大量关注。虽然收入不平等长期以来一直主导着公共话语，但对于塑造经济机会和政治权力至关重要的财富不平等却相对被忽视了。本文从实证角度考察了通货膨胀对财富不平等的影响，强调了金融发展的作用。我们关注的是最高财富份额，因为最近财富不平等的加剧在很大程度上是由少数精英日益集中造成的。使用跨国面板数据，我们发现通货膨胀加剧了财富不平等，因为它增加了最高财富份额，同时减少了分配的低端财富份额。银行业的发展减轻了这些影响，但股市的发展加剧了这些影响。路径分析表明，这些影响通过企业家精神和资产价格发挥作用。促进银行业发展和扩大股票市场准入的金融改革政策可能有助于减轻通货膨胀对财富不平等的不利影响。

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引用次数: 0

Is connectedness between commodity volatility indices and G-7 stock market returns the same across return quantiles? 大宗商品波动性指数与七国集团（g7）股市回报率之间的连通性在各个回报率分位数之间是否相同？

IF 4 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-08-07 DOI: 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.

本研究考察了2017年1月1日至2022年6月16日七国集团股票市场、石油和黄金波动之间的连通性和溢出效应。通过采用分位数溢出方法，本研究通过对这些市场之间的联系进行全面分析，为现有文献做出了贡献。研究结果表明，溢出效应是高度动态的，并且在回报分布的不同分位数之间存在显著差异。在2019冠状病毒病大流行、贸易紧张局势和地缘政治冲突等市场动荡时期，溢出强度增加，表明市场相互依赖性增强。日本股市和黄金波动指数（GVX）一直是冲击的净接受者，而加拿大、法国、德国、意大利、英国和美国的股市则是冲击的净发送者。尽管长期分散投资的机会似乎有限，但黄金和石油在各种市场条件下对短期投资者都表现出有效的对冲特性。从政策角度来看，这些发现强调了监测市场相互依赖性的重要性，特别是在危机时期。政策制定者应实施协调一致的战略，以减轻金融市场的系统性风险，特别是在不确定性加剧的时期。投资者应考虑使用黄金和石油的短期对冲策略，以在市场低迷时期将风险敞口降至最低。此外，七国集团国家的金融监管机构应加强监督机制，以预防可能威胁金融稳定的过度溢出效应。

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引用次数: 0

Green bonds: Catalyst or constraint for corporate green investment efficiency? 绿色债券：企业绿色投资效率的催化剂还是制约因素？

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-07-15 DOI: 10.1016/j.mulfin.2025.100920

Xinkuo Xu, Chenxi Zhang, Lizhengbo Yang

Green bonds have emerged as a critical external financing channel for corporate green investments. However, focusing solely on the scale of investment without considering efficiency provides an incomplete understanding of the role of such bonds. This paper investigates the impact of green bonds on green investment efficiency (GIE) using the DEA-Malmquist model, incorporating undesirable outputs. It also explores the influencing factors and mechanisms underlying this relationship. The key findings include the following: (1) Green bonds enhance GIE primarily through improved technical efficiency rather than technological progress. The scale of green bonds has an inverted U-shape relationship with GIE. (2) The effect is more pronounced in firms with low agency costs, firms with limited government subsidies, state-owned enterprises, and firms in heavily polluting industries. (3) Green bonds contribute to GIE by bridging the gaps in internal green governance and amplifying external pressures, such as media attention. (4) A lag effect is observed, with benefits for pollution reduction and the efficiency of green technological innovation manifesting over time. These findings provide valuable insights into the role of green bonds, offering a dual perspective on their economic and environmental impacts while guiding policies and practices for sustainable corporate development.

绿色债券已成为企业绿色投资的重要外部融资渠道。然而，只关注投资规模而不考虑效率，是对这类债券作用的不完整理解。本文利用DEA-Malmquist模型研究了绿色债券对绿色投资效率（GIE）的影响，并考虑了不良产出。并探讨了这种关系的影响因素和机制。研究发现：(1)绿色债券主要通过提高技术效率而非技术进步来提升全球GIE。绿色债券规模与GIE呈倒u型关系。(2)在代理成本较低的企业、政府补贴有限的企业、国有企业和重污染行业的企业中，这种效应更为明显。(3)绿色债券通过缩小内部绿色治理的差距和放大外部压力（如媒体关注）来促进绿色能源生产。(4)随着时间的推移，绿色技术创新的减排效益和效率表现出滞后效应。这些发现为绿色债券的作用提供了宝贵的见解，为其经济和环境影响提供了双重视角，同时为企业可持续发展的政策和实践提供了指导。

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