Journal of Multinational Financial Management最新文献

英文中文

Institutional quality distance, foreign bank presence and domestic bank efficiency: Cross-country evidence 制度质量距离、外资银行存在与国内银行效率：跨国证据

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.

尽管制度环境在银行国际化过程中具有重要意义，但人们对东道国和本国市场之间的制度质量距离如何影响外资银行在东道国市场的存在的影响知之甚少。利用2017年至2021年5256家银行的银行层面面板数据集，本研究发现，机构质量距离有助于缓解外资银行存在对国内银行效率的损失。此外，制度质量距离的缓解效应与外资银行所在国的制度发达程度无关。我们进一步观察到，制度质量距离的调节作用在法律、政治、监管和经济制度维度上存在差异。总体而言，调查结果表明，尽管外资银行的存在通常会损害当地银行业，但相对的机构质量距离可以为国内银行提供回旋余地，以建立竞争优势，更好地应对来自外国进入者的竞争。

引用次数: 0

Event-driven changes in volatility connectedness in global forex markets 全球外汇市场波动连通性的事件驱动变化

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.

采用新颖的方法，利用2009年至2023年的高频数据，全面分析了大多数交易货币的波动连通性。我们的研究首次提供了实证证据，证明大多数交易货币的连通性增加与内生选择的影响事件之间存在统计学上显著的关联。此外，我们揭示了影响全球外汇连通性的23个事件之间之前未被探索的关系，并进一步分析了事件前的连通性变化。我们还区分了事件对连通性的短暂影响和永久影响，并确认了四个事件与连通性永久变化的关联；有两件事与欧盟和美国的债务危机有关。我们计算了投资组合权重和对冲比率，以优化投资组合，并发现瑞士法郎和日元是最适合管理货币风险的工具。当日货币贬值与对美元升值的影响有很大不同，但不对称的程度随着时间的推移而下降。

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引用次数: 0

Why do companies reincorporate abroad? Evidence from Europe 为什么公司要在国外重新注册？来自欧洲的证据

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.

我们利用欧洲各国在制度、财政和监管方面的差异来调查企业决定重组的原因。在过去的十年里，欧洲内部的重组变得越来越普遍，意大利经历了最大的公司外流，荷兰是首选的目的地。我们研究了扩张、税收节约和监管套利的解释。证据不支持扩张和税收节约的动机，因为我们观察到公司的投资和有效税率没有显著变化。另一方面，我们发现，正如监管套利解释所预测的那样，公司在对采用控制增强机制采取宽松立法的国家重组。在荷兰重新注册的意大利公司尤其如此，因为他们在所有权和控制权之间实施了一定程度的分离，这超出了他们的原籍国所允许的范围。我们将讨论此类决策的治理含义。

引用次数: 0

Stock market returns and climate risk in the U.S. 美国股市回报与气候风险

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.

使用标准普尔500指数所有公司的数据集，我们研究了股票价格对急性物理风险、慢性物理风险和过渡风险的反应。我们的研究结果表明，某些部门更容易受到气候风险的影响，而其他部门似乎相对不受影响。此外，我们的研究结果表明，与环境绩效得分较高的公司相比，环境绩效得分较低的上市公司更容易受到气候风险的影响，这表明它们的股票收益受到负面影响。这表明，改善环境绩效可能有助于企业更好地应对气候风险，并改善其财务绩效。我们的分析提供了证据，表明短期系统风险更容易受到气候风险事件的影响，而对长期系统风险的影响似乎没有统计学意义。这些发现表明，投资者和企业在考虑气候风险对股市表现的潜在影响时，应特别注意短期系统风险。

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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

Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market 美国股市中各行业对经济政策不确定性和地缘政治风险的反应

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2024-08-31 DOI: 10.1016/j.mulfin.2024.100874

Sun-Yong Choi

We examine the impact of economic policy uncertainty and geopolitical risk on various industries, highlighting their asymmetric effects on sectoral volatility. Furthermore, we investigate the differential effects of economic policy uncertainty and geopolitical risk on sectoral volatility, distinguishing between good and bad volatility responses. We find an asymmetric relationship between economic policy uncertainty and geopolitical risk in these industries, with economic policy uncertainty generally exerting a stronger impact on sector-specific volatility compared to geopolitical risk. During normal circumstances since the 2010s, the influence of geopolitical risk on sector-specific volatility has been relatively insignificant. However, both economic policy uncertainty and geopolitical risk have played significant roles in affecting multiple sectors during certain crisis periods, with geopolitical risk demonstrating short-term effects. These findings have important implications for both investors and policymakers. Investors can time positions using insights on policy uncertainty and geopolitical risk, while policymakers can identify vulnerable sectors.

我们研究了经济政策不确定性和地缘政治风险对各行业的影响，强调了它们对行业波动性的不对称影响。此外，我们还研究了经济政策不确定性和地缘政治风险对行业波动性的不同影响，区分了好的波动性反应和坏的波动性反应。我们发现，在这些行业中，经济政策不确定性和地缘政治风险之间存在非对称关系，与地缘政治风险相比，经济政策不确定性对行业波动性的影响通常更大。在 2010 年代以来的正常情况下，地缘政治风险对特定行业波动率的影响相对较小。然而，在某些危机时期，经济政策的不确定性和地缘政治风险都对多个行业产生了重大影响，其中地缘政治风险表现出短期效应。这些发现对投资者和政策制定者都有重要意义。投资者可以利用对政策不确定性和地缘政治风险的洞察力来把握时机，而政策制定者则可以识别易受影响的行业。

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引用次数: 0

Do cultural differences affect the share price puzzle? 文化差异会影响股价之谜吗？

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management

Pub Date : 2024-08-17 DOI: 10.1016/j.mulfin.2024.100873

Riccardo Ferretti , Pierpaolo Pattitoni , Alessia Pedrazzoli

We examine the impact of cultural differences on nominal share prices across 63 countries from 2002 to 2018. Using institutional and catering theories, we assess how cultural dimensions—including World Governance Indicators (WGI), legal systems, religious influences, and GLOBE dimensions—affect the spatial heterogeneity of share price levels. Our findings indicate that share prices are higher in countries with common law systems and comprehensive information reporting, as these environments tend to attract institutional investors. Conversely, cultural traits emphasizing altruistic values correspond with lower share prices, reflecting the preferences of individual investors.

我们研究了 2002 年至 2018 年间 63 个国家的文化差异对名义股价的影响。利用制度和餐饮理论，我们评估了文化维度--包括世界治理指标（WGI）、法律制度、宗教影响和全球经济展望维度--如何影响股价水平的空间异质性。我们的研究结果表明，在普通法体系和信息报告全面的国家，股价较高，因为这些环境倾向于吸引机构投资者。相反，强调利他主义价值观的文化特征与较低的股价相对应，反映了个人投资者的偏好。

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全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

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