Journal of Multinational Financial Management最新文献

英文中文

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 : 2025-06-01 Epub 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 : 2025-06-01 Epub 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

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 : 2025-03-01 Epub 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 : 2025-03-01 Epub 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 : 2025-03-01 Epub 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

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 : 2025-03-01 Epub 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

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 : 2025-03-01 Epub 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

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 : 2025-03-01 Epub 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

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 : 2024-12-01 Epub 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

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 : 2024-12-01 Epub 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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