International Journal of Finance & Economics最新文献

In the rapidly growing world of sustainable finance, emerging markets saw a recent surge in their market share, which underscored the increasing investor appetite for environmental, social, and governance (ESG) products. In the literature on sustainable investing, most studies have focused on developed markets, and there are relatively few studies that have concentrated on emerging markets. To fill this research gap, we study sustainable investing in emerging markets, by examining the comparative performance of the sustainability indices in the partner exchanges of the Sustainable Stock Exchanges (SSE) initiative from emerging markets. In particular, we investigate three key issues that are of concern to most investors: (i) can the investment strategy of investing together in the themes of sustainability and emerging markets outperform the global sustainability benchmark? (ii) can this strategy outperform the global benchmark for emerging markets? (iii) can it improve portfolio diversification? Overall, our time series analysis and Monte Carlo simulation reveal the heterogeneity in sustainable investment performance across the world, and suggest the potential of obtaining superior risk-adjusted returns in certain regions while benefiting from portfolio diversification.

Using a cross-country data set of 670 microfinance institutions (MFIs) in nine countries from 1999 to 2018, this study examines the impact of economic policy uncertainty (EPU) on the credit risk of MFIs. The empirical results show that EPU significantly increases the credit risk of MFIs. Our findings are valid in a series of robustness checks. The moderating effects reveal that group lending can mitigate the impact of EPU on the credit risk of MFIs and that EPU has a weaker impact on nongovernmental organizations (NGOs) and cooperatives and credit unions (Coop/CUs). We explore potential channels through which credit risk is influenced by EPU from the perspectives of earnings volatility and cost. We find that EPU increases the credit risk of MFIs not only by reducing profitability and leverage levels and increasing earnings volatility but also by raising financing costs.

Unlike ordinary futures, Treasury bond futures are a kind of complex financial derivatives with multiple Treasury bonds as the underlying, which can be settled on multiple dates. China's Treasury bond futures contract embeds a quality option, rolling timing option, and month end timing option, and these options restrict each other, making the pricing of Treasury bond futures extremely difficult. Quality option plays a dominant role in these three options. This article creatively divides quality options into theoretical quality option caused by the definition deviation of conversion factor and disturbance quality option caused by the market factors except for interest rate. Using the bond valuation method based on the yield to maturity curve, this article puts forward the embedded theoretical quality option and China's Treasury bond futures pricing models. For the empirical test, the dataset covers a 10-year Treasury bond futures contract in 151 working days. The results show that the relative error between our model and the actual closing price of the Treasury bond futures is small compared with the cost of carry model, which excludes any embedded options. This research constructs a practical and straightforward pricing model of embedded theoretical quality option.

This article investigates the role of institutional quality in transmitting effects of commodity price volatility to economic growth. To do so, we collect data on 107 primary commodity exporting countries in both developing and developed ones over the period 1976–2015. Our empirical approach is based on Solow growth model framework (Solow, R. M. (1956). The Quarterly Journal of Economics, 70(1), 65) and consists of estimating a dynamic panel model using the two-step system GMM estimator. Our results show evidence that commodity price booms are associated with good economic performances that are unfortunately wiped out by the negative effects of price volatility in developing commodity-dependent countries (CDCs). The main channel through which this volatility affects economic growth turns out to be through factor productivity. Finally, we have formally established that the negative effect of price volatility in CDCs is mainly due to the poor quality of institutions in these countries. These results suggest that it is important for commodity-exporting economies, especially developing CDCs, to work on building strong economic and political institutions to guard against the risk of commodity price volatility.

With the rapid development of the digital economy, digital mergers and acquisitions (M&A) have become essential means for enterprises to acquire digital technologies and accelerate their digital transformation. This paper examines the impact of digital M&A on stock price crash risk using a sample of M&A transactions of China A-share listed companies from 2010 to 2021. The results show that digital M&A can reduce stock price crash risk after M&A. Further discussions reveal that compared to non-digital M&A, digital M&A has a better market effect, and the target firms of digital M&A generally are in different industries from the acquirers, have relatively low registered capital, have a shorter registration time, and have better financial performance. Mechanism tests indicate that during the transaction, digital M&A increases the probability of signing earnout contracts and reduces the cash payment ratio. After the transaction, digital M&A increases research and development (R&D) investment and improves R&D investment efficiency, ultimately reducing stock price crash risk. Cross-sectional tests suggest that in situations with intense market competition, lower digitalization level of the acquirers, and higher business similarity between the acquirer and the target firm, digital M&A is more effective in reducing stock price crash risk. The findings enrich the research on the operational mechanisms and economic consequences of digital M&A, providing theoretical references for regulatory authorities to optimise M&A regulatory policies and for enterprises to assess the benefits and risks of digital M&A.

This study measures and differentiates investors' responses to market supervisors' monetary penalties for non-compliance with informational requirements for the capital market in Poland, broken down by the type of distorted information and the form of a breach. An event study was conducted to measure the information content of monetary penalties. We used a market model and tested the significance of abnormal daily returns using both parametric and non-parametric tests. Cross-sectional analyses were conducted to measure the determinants of market reactions. We employed two novel classifications of non-compliance: by the type of distorted information (financial reporting information and other information) and by the form of a breach (failing to provide information and providing erroneous information). We contribute to the literature by finding that investors react negatively to monetary penalties imposed on companies for non-compliance with financial reporting information requirements, whereas they do not react to such penalties for non-compliance with other information requirements. We incorporate original variables that explain the magnitude of the market reaction and find that (i) the longer the distance between the breach and penalty imposition, the weaker the market reaction, and (ii) the greater the monetary penalty, the stronger the market reaction. We also find that both forms of breach lead to similar negative market reactions.

This paper explores the impact of inflation on income inequality in Sub-Saharan Africa, over the period from 1997 to 2019. The Bayesian model averaging method, à la De Luca and Magnus (2011), is employed to empirically support the main conclusions. The main finding highlights that inflation has an asymmetrical impact on inequality in the Sub-Saharan African (SSA) region, diminishing income disparities among the wealthy while exacerbating them among the impoverished. The results are sensitive to the economic characteristics of the country as well as the level of income brackets. Education, health expenditures, size of agriculture, economic development and control of corruption play pivotal roles in modelling the relationship between inflation and income inequality in the SSA region. Social safety net programs, monetary policies aimed at addressing inflation, investments in education, fostering inclusive economic growth, enhancing access to financial services for the impoverished, reforms to advance land rights and promoting regional cooperation should be the primary policy objectives for SSA countries.

This study investigates the determinants of firms' job-cut decisions during the COVID-19 pandemic, considering both firm-level and country-level factors. Data from 31 countries (a mix of developed and emerging) collected between May 2020 and May 2021 are analyzed using a multilevel Zero-Inflated Negative Binomial (ZINB) model. The results reveal that firms that were operational, larger in size, received financial incentives, and arranged remote work for their workforce laid off a smaller proportion of workers. Conversely, firms that experienced significant sales reductions, input supply disruptions, and introduced delivery or carry-out services laid off a larger proportion of workers. Moreover, among financial incentive-recipient firms, smaller ones and those that introduced remote work and delivery or carry-out services had smaller layoffs. At the country level, the human capital index (HCI) significantly influenced job-cut decisions, with higher HCI scores associated with smaller layoffs. Classifying countries into “developed” and “emerging” yielded similar results, except for temporary closure having no significant impact on job cuts in developed countries and remote work showing no impact on job cuts in emerging countries. The robustness of the results was confirmed by a multilevel zero-inflated Tobit model, which consistently reproduced the outcomes.

This paper examines the Bank of England's (BoE) communication on financial stability between 2013 and 2018. We apply an event study to determine the communication effect on financial institutions' stock market returns. We find that the BoE's announcements generate negative average abnormal returns for non-banking and banking systems, including the Global Systemically Important Banks. The same effect emerges when we consider the communication's tone. Furthermore, we construct a macroprudential decision communication index and show that the negative impact of the BoE's tone is significant only when the decision communication index value is above average. Moreover, we find evidence that negative abnormal returns tend to appear after the Brexit referendum, while we find positive abnormal returns before that date. Besides, we do not identify a noticeable effect related to communication practices.

The connections among fossil fuels, green bonds, and investors have undergone a substantial alteration due to the daunting difficulties posed by climate change risks and energy problems. This study employs quantile connection approaches to the dynamic spillover. The results indicate that extreme quantiles exhibit a higher degree of connectivity compared to the average quantile. In severe circumstances, risk spillover primarily emanates from fossil fuels, whereas investor sentiment (IS) is more vulnerable to the impact of related market hazards. The green bond (GBI) experiences a transition in its function, alternating between being a transmitter and a receiver. To summarise, comprehending the interrelation among these variables offers fresh perspectives for investment decision-making and policy development to facilitate the shift towards sustainable energy and tackle the climate emergency.