Journal of Multinational Financial Management最新文献

英文中文

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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引用次数: 0

Foreign bank entry and corporate emissions: Evidence from staggered deregulations in China 外资银行进入和企业排放：来自中国交错放松监管的证据

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-06-23 DOI: 10.1016/j.mulfin.2025.100919

William Mbanyele , Hongyun Huang , Ying Liu , Xinwei Qu

In this study, we estimate the impact of staggered foreign bank entry deregulation in China on corporate emissions. We find that firms significantly reduce their emissions following the entry of foreign banks. This impact is more concentrated in financially constrained and bank dependent firms, as well as firms with severe ex-ante agency costs. Firms exposed to high environmental litigation risk, facing less local economic pressure to meet growth targets and located in areas with lower ex-ante banking competition also show a significant reduction in emissions post-foreign bank entry deregulation. Moreover, our investigation shows that foreign bank entry contributes to corporate emissions reduction through the adoption of pollution abatement equipment and green technologies. Overall, we uncover new evidence on the impact of foreign bank entry on social welfare outcomes, thereby expanding our understanding of the role of financial market openness in moving toward a low-carbon economy.

在本研究中，我们估计了中国错开外资银行进入管制对企业排放的影响。我们发现，外资银行进入后，企业的排放量显著减少。这种影响更集中在财政拮据和依赖银行的公司，以及有严重事前代理成本的公司。面对高环境诉讼风险的公司，面临较少的地方经济压力以实现增长目标，以及位于银行前竞争较低的地区，在外资银行进入放松管制后，排放量也显著减少。此外，我们的调查表明，外资银行的进入通过采用污染减排设备和绿色技术有助于企业减排。总体而言，我们发现了外资银行进入对社会福利结果影响的新证据，从而扩大了我们对金融市场开放在迈向低碳经济中的作用的理解。

引用次数: 0

Economic freedom and market resilience: Safeguarding liquidity in times of crisis 经济自由和市场弹性：在危机时期保障流动性

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-06-21 DOI: 10.1016/j.mulfin.2025.100918

Hyun Joung Jin , Jang-Chul Kim , Qing Su

This study examines the link between the liquidity of non-U.S. stocks listed on the NYSE and the economic freedom of their home countries, with a particular focus on the COVID-19 pandemic. The key hypothesis suggests that greater economic freedom enhances stock liquidity by reducing information asymmetry and transaction costs. The findings confirm that stocks from countries with higher economic freedom exhibit narrower bid-ask spreads, lower price impacts, and reduced information-based trading, indicating improved market efficiency. Additionally, the study finds that economic freedom played a crucial role in maintaining liquidity and market stability during the pandemic. Countries with stronger financial, investment, and trade freedom experienced smaller declines in liquidity, suggesting that regulatory flexibility and transparent financial systems helped mitigate the effects of external shocks. These results highlight the importance of economic freedom in fostering resilient financial markets and reducing market disruptions during crises. The study provides practical implications for policymakers, investors, and financial institutions by emphasizing the need to promote economic freedom through transparent regulations, investor protections, and efficient market structures. Ultimately, the research supports the idea that higher economic freedom not only enhances financial market efficiency in normal conditions but also acts as a stabilizing force in times of economic uncertainty and global crises.

本研究考察了非美国货币的流动性之间的联系。在纽约证券交易所上市的股票和本国的经济自由，特别关注2019冠状病毒病大流行。关键假设认为，更大的经济自由度通过减少信息不对称和交易成本来提高股票流动性。研究结果证实，经济自由度较高的国家的股票表现出更小的买卖价差、更低的价格影响和更少的信息交易，表明市场效率提高。此外，研究发现，在疫情期间，经济自由在保持流动性和市场稳定方面发挥了至关重要的作用。金融、投资和贸易自由度较高的国家流动性下降幅度较小，这表明监管灵活性和透明的金融体系有助于减轻外部冲击的影响。这些结果突出了经济自由在培育有弹性的金融市场和减少危机期间市场中断方面的重要性。该研究强调了通过透明的监管、投资者保护和有效的市场结构来促进经济自由的必要性，为政策制定者、投资者和金融机构提供了实际意义。最终，该研究支持了这样一种观点，即更高的经济自由度不仅在正常情况下提高了金融市场的效率，而且在经济不确定和全球危机时期也起到了稳定力量的作用。

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引用次数: 0

Exploring the role of crude oil futures in portfolio diversification 探讨原油期货在投资组合多元化中的作用

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-06-11 DOI: 10.1016/j.mulfin.2025.100917

Ching-Chi Hsu , Wei-Che Tsai

This study explores the potential diversification benefits of including crude oil futures in global portfolios. For this purpose, we assess the relationship between crude oil futures and international stock markets across different timeframes using static network connectedness and wavelet coherency analyses. The results show that crude oil exerts a significant influence on stock markets, particularly over the 128–256 day horizon, with this effect intensifying during epidemic periods. Our wavelet-based covariance analysis guides the calculation of optimal portfolio weights, revealing that these strategies outperform equal-weighted portfolios over longer horizons. Furthermore, crude oil futures receive higher allocations during periods of low market interdependence, offering valuable insights for risk minimization and dynamic portfolio management.

本研究探讨将原油期货纳入全球投资组合的潜在多元化效益。为此，我们使用静态网络连通性和小波相干性分析来评估原油期货与不同时间框架的国际股票市场之间的关系。结果表明，原油对股票市场有显著影响，特别是在128-256 天范围内，这种影响在疫情期间加剧。我们基于小波的协方差分析指导了最优投资组合权重的计算，揭示了这些策略在较长时间内优于等权重投资组合。此外，原油期货在市场相互依赖性较低的时期获得更高的配置，为风险最小化和动态投资组合管理提供了有价值的见解。

引用次数: 0

Central bank swap arrangements, exchange rate volatility, and China’s exports 央行互换安排、汇率波动和中国出口

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-06-06 DOI: 10.1016/j.mulfin.2025.100915

Zhuqing Liu , Junmei Zhang

This paper investigates the impact of bilateral currency swap arrangements (BSAs) implemented by the People's Bank of China (PBoC) on China’s export from the perspective of stabilizing exchange rate volatility, utilizing annual trade data from 2009 to 2019. We find a significant positive effect of BSAs on China’s exports to the countries that have signed BSAs by stabilizing bilateral exchange rate volatility. The PBoC’S BSAs can reduce currency exchange costs, accelerate the RMB internationalization and enhance international market confidence in the RMB. The heterogeneity analysis further demonstrates stronger treatment effects among: (1) non-Belt and Road Initiative participants, (2) APEC member states, (3) developing economies, and (4) countries without a floating exchange rate regime.

本文利用2009 - 2019年的年度贸易数据，从稳定汇率波动的角度考察了中国人民银行（PBoC）实施的双边货币互换安排（bsa）对中国出口的影响。我们发现，通过稳定双边汇率波动，bsa对中国对签署了bsa的国家的出口产生了显著的积极影响。中国人民银行设立机构可以降低货币兑换成本，加快人民币国际化进程，增强国际市场对人民币的信心。异质性分析进一步表明，(1)非“一带一路”参与者、(2)APEC成员国、(3)发展中经济体和(4)非浮动汇率国家的治疗效果更强。

引用次数: 0

Temporal dynamics of uncertainty shocks on China's trade openness: A TVP-VAR estimation 不确定性冲击对中国贸易开放的时间动态影响：tpv - var估计

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-06-06 DOI: 10.1016/j.mulfin.2025.100916

Petros Golitsis , Kyriakos Emmanouilidis

This study examines the impact of multiple uncertainty factors on China's trade openness from 1997 to 2023. Employing a time-varying parameter vector autoregression (TVP-VAR) model, we analyze how geopolitical risks, economic policy uncertainties, trade policy uncertainties, and climate policy uncertainties affect China's export-to-import ratio over different time horizons. The analysis incorporates both global and China-specific uncertainty indices to capture domestic and international dimensions. Our results indicate that uncertainty shocks exhibit their strongest effects in the first quarter following the shock, with impacts diminishing but remaining significant over longer horizons. The time-varying impulse response functions reveal differential effects across various economic periods, including notable responses following major economic events such as the 2008 financial crisis and subsequent Eurozone debt crisis. We find that climate policy developments coincide with observable shifts in trade patterns, which could be associated with changes in environmental technology sectors. These findings have implications for understanding how trade flows respond to various shocks in an increasingly complex global economic environment.

本研究考察了1997 - 2023年多个不确定性因素对中国贸易开放的影响。本文采用时变参数向量自回归（TVP-VAR）模型，分析了地缘政治风险、经济政策不确定性、贸易政策不确定性和气候政策不确定性在不同时间尺度上对中国进出口比的影响。该分析结合了全球和中国特定的不确定性指数，以捕捉国内和国际维度。我们的研究结果表明，不确定性冲击在冲击后的第一季度表现出最强的影响，影响逐渐减弱，但在较长时间内仍然显著。时变脉冲响应函数揭示了不同经济时期的差异效应，包括2008年金融危机和随后的欧元区债务危机等重大经济事件后的显著反应。我们发现，气候政策的发展与可观察到的贸易模式变化相吻合，而贸易模式的变化可能与环境技术部门的变化有关。这些发现对于理解在日益复杂的全球经济环境中贸易流动如何应对各种冲击具有重要意义。

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引用次数: 0

ETF connectedness and its applications: Evidence from RCEP member countries ETF连通性及其应用：来自RCEP成员国的证据

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-05-15 DOI: 10.1016/j.mulfin.2025.100908

Zhenyang Li , Yuanying Jiang

This study investigates market linkages among the member countries of the Regional Comprehensive Economic Partnership (RCEP), focusing on Exchange-Traded Funds (ETFs) as a cross-market investment tool. Using daily ETF data from March 31, 2011, to October 1, 2024, we apply the GJR-BEKK-GARCH model and the time-varying frequency connectedness method to analyze ETF connectedness among RCEP member countries from both time-frequency and return-volatility perspectives. The results reveal significant heterogeneity in ETFs' returns and volatilities, with connectedness showing clear time-varying patterns. During economic events, risk transmission mechanisms vary, with RCEP markets showing heightened sensitivity to global shocks. Dynamic analysis of return and volatility connectedness uncovers market linkage relationships at different stages. Portfolio optimization further suggests that multi-asset ETF portfolios exhibit varying risk diversification effects under different strategies, providing valuable insights for asset allocation and risk management in a globalized market.

本研究考察了区域全面经济伙伴关系（RCEP）成员国之间的市场联系，重点关注交易所交易基金（etf）作为跨市场投资工具。利用2011年3月31日至2024年10月1日的ETF日数据，运用GJR-BEKK-GARCH模型和时变频率连通性方法，从时频和收益-波动两个角度分析了RCEP成员国ETF的连通性。结果显示，etf的收益和波动率存在显著的异质性，连通性表现出明显的时变模式。在经济事件期间，风险传导机制各不相同，RCEP市场对全球冲击表现出高度敏感性。对收益与波动关联度的动态分析揭示了市场在不同阶段的联动关系。组合优化进一步表明，多资产ETF组合在不同策略下表现出不同的风险分散效果，为全球化市场下的资产配置和风险管理提供了有价值的见解。

引用次数: 0

How did banks react to SVB collapse? 银行对瑞典对外银行的倒闭有何反应？

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2025-03-01 DOI: 10.1016/j.mulfin.2025.100900

Anis Samet , Kimberly C. Gleason , Feras M. Salama , Xi Ye

This study is the first to comprehensively investigates the stock market repercussions of the SVB collapse for a sample of 528 individual bank stocks across 35 countries. Using event-study methodology, we find that the resilience of banks during the SVB collapse is intricately linked to their capital adequacy and liquidity. Specifically, banks exhibiting higher capital adequacy and greater liquidity mitigate losses during the SVB collapse, while controlling for bank-level and country-level variables. Further, we find that emerging markets banks exhibited significantly lower stock price declines upon announcement of the SVB failure than their counterparts in developed countries, indicating higher resilience to crisis for banks in emerging markets. This study offers a further understanding of the importance of capital adequacy and liquidity in shaping banks’ resilience to banking sector crises, such as the SVB collapse, and provides implications for policymakers seeking to enact policies designed to reduce bank vulnerability to external shocks.

这项研究首次全面调查了瑞典银行崩溃对35个国家528只银行个股的股市影响。使用事件研究方法，我们发现银行在SVB崩溃期间的弹性与其资本充足率和流动性错综复杂地联系在一起。具体而言，在控制银行层面和国家层面变量的同时，表现出较高资本充足率和更大流动性的银行在SVB崩溃期间减轻了损失。此外，我们发现新兴市场银行在宣布破产后的股价跌幅明显低于发达国家的银行，这表明新兴市场银行对危机的抵御能力更高。本研究进一步了解了资本充足率和流动性在塑造银行抵御银行业危机（如瑞典对外银行崩溃）的韧性方面的重要性，并为政策制定者寻求制定旨在降低银行对外部冲击脆弱性的政策提供了启示。

引用次数: 0

Is the relationship between financial globalization and financial stability heterogeneous? Evidence from emerging markets and developing economies 金融全球化与金融稳定的关系是异质性的吗？来自新兴市场和发展中经济体的证据

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.

本文考察了2000年至2019年59个新兴市场和发展中国家（EMDEs）金融稳定与金融全球化之间的关系。基线模型的研究结果表明，金融稳定与金融全球化之间的关系因金融全球化（总体上、事实上、法律上）和金融稳定的维度而有所不同。这种关系在金融稳定性的分位数中显示出非线性和异质模式，其特征是数据范围内定义明确的极值点。具体而言，通过面板分位数回归技术，我们发现金融不稳定国家（金融稳定的较低分位数）的金融全球化维度与金融稳定之间呈现u型关系。相比之下，金融稳定的国家则呈现倒u型关系。此外，我们发现制度和金融发展较弱的国家表现出u型关系，经历了最初的不稳定之后的稳定。相反，在制度和金融发展强劲的国家，金融稳定性最初有所改善，但随着一体化的加深而下降。这些发现强调了加强制度的重要性，以利用金融全球化的好处，同时减轻相关风险。

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引用次数: 0

Technical indicators and aggregate stock returns: An updated look 技术指标和总股票回报：最新的看法

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.

我们提供最新的技术指标分析和总股票收益预测。我们构建了105个新的技术指标作为大数据预测指标，并在预测分析中采用了8种先进的收缩方法。我们的证据表明，105个技术因素的改进在很大程度上成功地克服了Neely等人（2014）的14个技术变量的改进，并在使用ENet和Lasso时挑战了Welch和Goyal（2008）的14个流行宏观经济变量的预测作用。基于105个技术指标的预测信息的优异表现产生了足够高的样本内和样本外r平方值，并在预测复合标准的超额收益方面获得了可观的经济收益；糟糕的500指数市场。相应的证据对于商业周期、预测范围和替代评估期的变化仍然是强有力的。

引用次数: 0

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