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}
Pub Date : 2025-07-15DOI: 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.
{"title":"Green bonds: Catalyst or constraint for corporate green investment efficiency?","authors":"Xinkuo Xu, Chenxi Zhang, Lizhengbo Yang","doi":"10.1016/j.mulfin.2025.100920","DOIUrl":"10.1016/j.mulfin.2025.100920","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"79 ","pages":"Article 100920"},"PeriodicalIF":2.9,"publicationDate":"2025-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144663351","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 : 2025-06-23DOI: 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.
{"title":"Foreign bank entry and corporate emissions: Evidence from staggered deregulations in China","authors":"William Mbanyele , Hongyun Huang , Ying Liu , Xinwei Qu","doi":"10.1016/j.mulfin.2025.100919","DOIUrl":"10.1016/j.mulfin.2025.100919","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"79 ","pages":"Article 100919"},"PeriodicalIF":2.9,"publicationDate":"2025-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144510944","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 : 2025-06-21DOI: 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.
{"title":"Economic freedom and market resilience: Safeguarding liquidity in times of crisis","authors":"Hyun Joung Jin , Jang-Chul Kim , Qing Su","doi":"10.1016/j.mulfin.2025.100918","DOIUrl":"10.1016/j.mulfin.2025.100918","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"79 ","pages":"Article 100918"},"PeriodicalIF":2.9,"publicationDate":"2025-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144365566","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 : 2025-06-11DOI: 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.
{"title":"Exploring the role of crude oil futures in portfolio diversification","authors":"Ching-Chi Hsu , Wei-Che Tsai","doi":"10.1016/j.mulfin.2025.100917","DOIUrl":"10.1016/j.mulfin.2025.100917","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"79 ","pages":"Article 100917"},"PeriodicalIF":2.9,"publicationDate":"2025-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144321760","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 : 2025-06-06DOI: 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.
{"title":"Central bank swap arrangements, exchange rate volatility, and China’s exports","authors":"Zhuqing Liu , Junmei Zhang","doi":"10.1016/j.mulfin.2025.100915","DOIUrl":"10.1016/j.mulfin.2025.100915","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"79 ","pages":"Article 100915"},"PeriodicalIF":2.9,"publicationDate":"2025-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144272097","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 : 2025-06-06DOI: 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.
{"title":"Temporal dynamics of uncertainty shocks on China's trade openness: A TVP-VAR estimation","authors":"Petros Golitsis , Kyriakos Emmanouilidis","doi":"10.1016/j.mulfin.2025.100916","DOIUrl":"10.1016/j.mulfin.2025.100916","url":null,"abstract":"<div><div>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<strong>,</strong> 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.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"79 ","pages":"Article 100916"},"PeriodicalIF":2.9,"publicationDate":"2025-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144254957","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 : 2025-05-15DOI: 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.
{"title":"ETF connectedness and its applications: Evidence from RCEP member countries","authors":"Zhenyang Li , Yuanying Jiang","doi":"10.1016/j.mulfin.2025.100908","DOIUrl":"10.1016/j.mulfin.2025.100908","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"78 ","pages":"Article 100908"},"PeriodicalIF":2.9,"publicationDate":"2025-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144130945","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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