North American Journal of Economics and Finance最新文献

ESG rating and default risk: Evidence from China ESG评级与违约风险：来自中国的证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2024-11-15 DOI: 10.1016/j.najef.2024.102314

Huihui Li, Yonghong Hu

Based on the data of Chinese A-share listed companies from 2009 to 2022, this study constructs a bivariate panel vector autoregression (PVAR) model to examine the dynamic equilibrium relationship between default risk and environmental, social, and governance (ESG) performance and its individual dimensions. Results indicate that ESG performance and corporate stability exhibit growth inertia and self-reinforcing mechanisms, with overall ESG performance significantly mitigating default risk. Although no bidirectional causality was found between environmental and governance performance and default risk, corporate stability positively impacts both over time. The findings indicate a synergistic relationship between social performance and default risk, in which strong social performance helps mitigate default risk. Financial stability encourages companies to engage in social responsibility initiatives. Heterogeneity analysis demonstrates that the mitigating effects of ESG performance on default risk are more pronounced for non-state-owned enterprises (non-SOEs) and small- and medium-sized enterprises (SMEs). Social responsibility and corporate governance are more significant in enhancing financial stability in manufacturing firms. These findings provide valuable insights for investors and policymakers in mitigating default risks while promoting the development of green finance.

本研究基于2009-2022年中国A股上市公司数据，构建双变量面板向量自回归（PVAR）模型，检验违约风险与环境、社会和治理（ESG）绩效及其各维度之间的动态均衡关系。结果表明，环境、社会和治理绩效与企业稳定性之间呈现出增长惯性和自我强化机制，环境、社会和治理的整体绩效显著降低了违约风险。虽然在环境和治理绩效与违约风险之间没有发现双向因果关系，但随着时间的推移，公司稳定性对两者都有积极影响。研究结果表明，社会绩效与违约风险之间存在协同关系，即强有力的社会绩效有助于降低违约风险。财务稳定性鼓励公司参与社会责任倡议。异质性分析表明，环境、社会和治理绩效对违约风险的缓解作用在非国有企业和中小型企业中更为明显。社会责任和公司治理对提高制造业企业的财务稳定性更有意义。这些发现为投资者和政策制定者在促进绿色金融发展的同时降低违约风险提供了有价值的见解。

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引用次数: 0

Decoding the stock market dynamics in the banking sector: Short versus long-term insights 解密银行业的股市动态：短期与长期见解

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2024-11-13 DOI: 10.1016/j.najef.2024.102311

Barbara Čeryová, Peter Árendáš

The severity of extreme fluctuations and crises within the global banking sector is escalating. Conventional models, operating on a single time scale, may misinterpret any shift as a change in the long-term trend, distorting market insights. To address this issue, the present paper introduces a hierarchical structure into the standard hidden Markov model, enabling the differentiation of short and long-term trends within the U.S. banking industry. Using NASDAQ Bank stock market index data from January 1, 2007, to July 31, 2023 at two different frequencies, we construct and evaluate different calibrations of the hierarchical hidden Markov model. Results reveal two long-term regimes: turbulent periods with high volatility, instability, and negative returns, and prevalent stable markets. Within each of them, two distinct states representing short-term trends are identified, exhibiting significant differences in persistence, likelihood, expected returns, and risk profiles. The results show that an investor should carefully differentiate between regimes on both hierarchies to make informed investment decisions.

全球银行业极端波动和危机的严重程度正在不断升级。在单一时间尺度上运行的传统模型可能会将任何变化误解为长期趋势的变化，从而扭曲市场洞察力。为了解决这个问题，本文在标准隐马尔科夫模型中引入了分层结构，从而能够区分美国银行业的短期和长期趋势。利用 2007 年 1 月 1 日至 2023 年 7 月 31 日两种不同频率的纳斯达克银行股票市场指数数据，我们构建并评估了分层隐马尔可夫模型的不同校准。结果显示了两种长期机制：具有高波动性、不稳定性和负收益的动荡时期，以及普遍稳定的市场。在每种情况下，都能识别出代表短期趋势的两种截然不同的状态，它们在持续性、可能性、预期收益和风险概况方面都存在显著差异。结果表明，投资者应仔细区分这两个层次上的不同状态，以做出明智的投资决策。

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引用次数: 0

Static and dynamic return and volatility connectedness between transportation tokens and transportation indices: Evidence from quantile connectedness approach 交通代币与交通指数之间的静态和动态收益率与波动率关联性：量化关联性方法的证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2024-11-10 DOI: 10.1016/j.najef.2024.102312

Erkan Ustaoglu

The aim of the study is to examine the return and volatility connectedness between transportation tokens and transportation stock indices. Since the QVAR model is used in the study, we can obtain information about the return and volatility connectedness between assets not only under normal market conditions but also under extreme market conditions. The return and volatility spillovers between transportation tokens and transportation stock indices are time-varying and also vary under different market conditions. Under normal market conditions, transportation tokens and transportation indices are largely unconnected. The return connectedness between the assets increases significantly during extreme market downturns and upturns, with similar increases in volatility connectedness during periods of extreme volatility. Return and volatility connectedness between assets are affected by extreme events such as COVID-19, the Russia–Ukraine war, and the collapse of the cryptocurrency market. The study investigates the determinants of total return and volatility connectedness between transportation tokens and transportation stock indices. It is found that EPU, GVZ, VIX, and crises are significant determinants affecting the return and volatility connectivity between transportation tokens and transportation stock indices across all market conditions. The results are significant for strategies to be implemented by investors and portfolio managers.

本研究的目的是考察交通代币与交通股指数之间的收益和波动关联性。由于研究中使用了 QVAR 模型，因此我们不仅可以获得正常市场条件下的资产回报率和波动率关联信息，还可以获得极端市场条件下的资产回报率和波动率关联信息。交通代币与交通股指之间的收益和波动溢出效应是时变的，在不同的市场条件下也各不相同。在正常市场条件下，交通代币和交通指数之间基本没有联系。在市场极度低迷和上升期间，资产之间的收益关联性会显著增加，在极度波动期间，波动关联性也会类似增加。资产间的收益率和波动率关联性受到 COVID-19、俄乌战争和加密货币市场崩溃等极端事件的影响。本研究调查了交通代币与交通股指之间总回报率和波动率关联性的决定因素。研究发现，在所有市场条件下，EPU、GVZ、VIX 和危机都是影响交通代币与交通股指之间回报和波动连接性的重要决定因素。研究结果对投资者和投资组合经理实施策略具有重要意义。

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引用次数: 0

The role of digital transformation in mergers and acquisitions 数字化转型在并购中的作用

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2024-11-05 DOI: 10.1016/j.najef.2024.102306

Nan Yang , Shanmin Li , Zhihong Huang , Caiping Wang

How digital transformation influences mergers and acquisitions (M&A) in firms is a significant yet seldom-explored inquiry. We argue that, differing from the “winner-take-all” logic observed in M&A undertaken by born-digital enterprises, digital transformation initiatives pursued by traditional firms can enhance long-term M&A performance by mitigating internal control costs in terms of organizational inertia. The findings from an analysis of M&A activities conducted by publicly listed Chinese firms demonstrate that the digital transformation efforts of traditional enterprises possess the potential to substantially augment long-term M&A performance. Nevertheless, this facilitative impact may encounter limitations due to structural inertia, strategic persistence and external pressure. Moreover, when compared to “technology-based” digital transformation, “application-based” digital transformation exhibits a superior capacity to facilitate long-term M&A performance by alleviating routine rigidity. This study extends the application of organizational inertia theory to the digital economy era and provides practical insights for enterprises that are implementing digital-transformation strategies.

数字化转型如何影响企业并购（M&A）是一个重要但却鲜有探索的问题。我们认为，有别于天生数字化企业进行并购时的 "赢家通吃 "逻辑，传统企业的数字化转型举措可以通过降低组织惰性方面的内部控制成本，提高并购的长期绩效。对中国上市公司并购活动的分析结果表明，传统企业的数字化转型努力具有大幅提升长期并购绩效的潜力。然而，由于结构惯性、战略坚持和外部压力，这种促进作用可能会遇到限制。此外，与 "基于技术 "的数字化转型相比，"基于应用 "的数字化转型在缓解常规僵化方面表现出更强的促进长期经营与管理绩效的能力。本研究将组织惯性理论的应用扩展到数字经济时代，为正在实施数字化转型战略的企业提供了实用的启示。

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引用次数: 0

Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict 在 COVID-19 危机和俄乌冲突期间，美国和金砖国家股票市场的恐慌蔓延

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2024-11-01 DOI: 10.1016/j.najef.2024.102308

Yi Zhang , Long Zhou , Zhidong Liu , Baoxiu Wu

This study examines volatility contagion between the US and five BRICS stock markets during the COVID-19 pandemic and the Russo-Ukrainian crisis. We first use the Markov-switching dynamic regression method to endogenously identify various phases of market evolution. Then, we employ a dynamic conditional correlation process to uncover time-varying volatility spillovers relying on the implied volatility induced by daily changes in the investigated markets. Empirical results indicate that market spillover during the two crises presents quite different scenarios. The US has a more significant and persistent contagion effect on the BRICS markets during COVID-19. However, only a short-lived and pulse-like market response is detected in the initial stage of the Russo-Ukrainian crisis, and the volatility interdependency structures do not follow a specific pattern across all implied volatility pairs.

本研究探讨了 COVID-19 大流行和俄乌危机期间美国和五个金砖国家股票市场之间的波动传染。我们首先使用马尔科夫切换动态回归法来内生识别市场演变的各个阶段。然后，我们采用动态条件相关过程，根据被调查市场每日变化所引起的隐含波动率来揭示时变波动溢出效应。实证结果表明，两次危机期间的市场溢出效应呈现出截然不同的情形。在 COVID-19 危机期间，美国对金砖国家市场的蔓延效应更为显著和持久。然而，在俄乌危机的初始阶段，只检测到了短暂的脉冲式市场反应，而且在所有隐含波动率对中，波动率相互依存结构并不遵循特定模式。

引用次数: 0

Hand in hand or left behind: The dual impact of leading firms’ digital technologies on industry digital transformation 携手还是落后？领先企业的数字技术对行业数字化转型的双重影响

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2024-10-31 DOI: 10.1016/j.najef.2024.102305

Chuanhui Liu , Zhongyuan Sheng , Xuetong Hu , Chunxiao Tian

This study, utilizing Chinese listed companies from 2007 to 2022, reveals that enterprises can improve their digital transformation strategies by learning from the digital technologies of industry-leading companies. By free-riding on technology adoption, enterprises can reduce their R&D investments in implementing digital transformation projects, as existing digital technologies can be copied and improved for their own use. Furthermore, we find that firms with stronger research capabilities are more efficient at learning from leading firms’ digital technologies. Better digital technologies not only optimize a firm’s strategic plan for digital transformation but also enhance the actual implementation of such projects. This enhancement is achieved by easing financing constraints and diversifying the upstream chain. Our findings are robust to alternative variable measures and endogeneity tests. Overall, we highlight the technological spillovers of digital technology innovations by leading firms, facilitating a deeper digital transformation of other firms through various governance channels.

本研究以 2007 年至 2022 年的中国上市公司为研究对象，揭示了企业可以通过学习行业领先企业的数字化技术来改进其数字化转型战略。通过 "搭便车 "采用技术，企业可以减少在实施数字化转型项目时的研发投入，因为现有的数字化技术可以被复制和改进，为企业所用。此外，我们还发现，研究能力更强的企业在学习领先企业的数字技术方面效率更高。更好的数字化技术不仅能优化企业的数字化转型战略计划，还能增强这些项目的实际实施效果。这种提升是通过缓解融资限制和使上游产业链多样化来实现的。我们的研究结果对替代变量测量和内生性检验都是稳健的。总之，我们强调了领先企业数字技术创新的技术溢出效应，通过各种治理渠道促进了其他企业更深入的数字化转型。

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引用次数: 0

Regional FinTech development and total factor productivity among firms: Evidence from China 区域金融科技发展与企业全要素生产率：来自中国的证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2024-10-26 DOI: 10.1016/j.najef.2024.102304

Yunzhong Li , Chengfang Ye , Mingxi Li , Wai Yan Shum , Fujun Lai

FinTech has been extensively applied in China in the context of high-quality development. This study quantifies the level of FinTech development in various Chinese cities based on the number of FinTech companies present, investigating the impact and mechanisms of regional FinTech development on enterprises’ Total Factor Productivity (TFP). The results indicate that FinTech significantly enhances enterprises’ TFP. This conclusion remains valid after a series of robustness tests. Mechanism analysis reveals that FinTech contributes to this improvement by enhancing credit availability of enterprises, increasing financing accessibility for businesses, reducing financing costs, alleviating financing constraints, and fostering technological innovation within enterprises. Heterogeneity analysis shows that this positive effect is more pronounced in highly competitive firms, non-financial background firms and regions with more favorable business environments. Overall, our findings demonstrate a positive impact of FinTech on enterprises’ TFP, providing new insights into its beneficial effects.

金融科技在中国的高质量发展中得到了广泛应用。本研究以金融科技企业数量为基础，量化中国各城市的金融科技发展水平，探究区域金融科技发展对企业全要素生产率（TFP）的影响和作用机制。结果表明，金融科技能显著提高企业的全要素生产率。经过一系列稳健性检验，这一结论依然有效。机制分析表明，金融科技通过提高企业的信贷可得性、增加企业的融资可得性、降低融资成本、缓解融资约束以及促进企业内部的技术创新，促进了企业全要素生产率的提高。异质性分析表明，这种积极影响在高竞争力企业、非金融背景企业和商业环境更有利的地区更为明显。总体而言，我们的研究结果表明，金融科技对企业的全要素生产率产生了积极影响，为了解其有益效应提供了新的视角。

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引用次数: 0

Does oil price uncertainty affect corporate total factor productivity? Evidence from China 石油价格的不确定性会影响企业全要素生产率吗？来自中国的证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2024-10-24 DOI: 10.1016/j.najef.2024.102302

Ziqing Wu, Leyi Chen

In the era of high-quality economic development, oil price uncertainty (OVX) and the total factor productivity (TFP) of corporations are pivotal issues for both policymakers and scholars. This study leverages the implied volatility of oil prices and financial data from Chinese listed industrial companies spanning 2010 to 2022 to investigate the influence of OVX on firms’ TFP and the underlying mechanisms. The findings reveal that OVX substantially dampens firms’ TFP, with corporate leverage and financialization identified as key channels through which this impact occurs. Further heterogeneity analysis indicates that the negative impact of OVX on TFP is particularly pronounced in firms operating in industries with low concentration and among small and medium-sized enterprises (SMEs). The extension analysis suggests a threshold effect in the relationship between OVX and corporate TFP, with the suppressive effect of OVX on TFP intensifying as the level of corporate financialization increases. Consequently, it is imperative for policymakers to closely monitor oil price fluctuations and implement timely strategies to mitigate the risks associated with OVX.

在经济高质量发展的时代，油价不确定性（OVX）与企业全要素生产率（TFP）是政策制定者和学者们关注的焦点问题。本研究利用油价隐含波动率和中国工业上市公司 2010 年至 2022 年的财务数据，研究油价不确定性对企业全要素生产率的影响及其内在机制。研究结果表明，OVX 大幅抑制了企业的全要素生产率，而企业杠杆率和金融化是产生这种影响的主要渠道。进一步的异质性分析表明，OVX 对全要素生产率的负面影响在低集中度行业的企业和中小型企业中尤为明显。扩展分析表明，OVX 与企业全要素生产率之间的关系存在门槛效应，随着企业金融化水平的提高，OVX 对全要素生产率的抑制作用会增强。因此，政策制定者必须密切关注石油价格波动，并及时实施战略以降低与 OVX 相关的风险。

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引用次数: 0

Impact of government’s support policy on decision-making of platform participants under ESG 政府支持政策对 ESG 平台参与者决策的影响

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2024-10-24 DOI: 10.1016/j.najef.2024.102303

Renzhong Li , Chen Fei , Weiyin Fei

Blockchain-based token platform economy is a new branch of digital platform economics. Constructing a continuous time dynamic model of token platform economy, this paper analyzes what kind of ESG policy is appropriate for the government, meanwhile the token platform participants (developers, users and speculators) make optimal investments and decisions under ESG policy. Simulation result shows neutral ESG policy is optimal. Based on the given neutral ESG policy, we have done the research on ESG investment and decision strategies for platform participants. Our research shows that the tokens selling rate and efforts of green platform (ESG score greater than 0) developers are lower than the ones of brown platform (ESG score less than 0). Consequently, when developers’ token retention is about half of the initial amount, users should invest more brown tokens. Speculators should invest brown tokens for developers’ high token retention. Green token investments of speculators and users are needed in other cases. Next, the impact of the government’s three ESG policies on the maturity or termination of the platform also been analyzed. An important conclusion occurred: the government’s aggressive or conservative ESG policy cannot make the development of the green platform better; Therefore, we suggest a neutral ESG policy which means that the government could adopt high tax incentive and high tax burden on the green and brown platform while it is not necessary to implement the extra subsidy and punishment policy on the green and brown platform.

基于区块链的代币平台经济是数字平台经济学的一个新分支。本文构建了代币平台经济的连续时间动态模型，分析了政府应采取何种ESG政策，同时代币平台参与者（开发者、用户和投机者）在ESG政策下做出最优投资和决策。仿真结果表明，中性 ESG 政策是最优的。基于给定的中性 ESG 政策，我们对平台参与者的 ESG 投资和决策策略进行了研究。研究表明，绿色平台（ESG 得分大于 0）开发者的代币销售率和努力程度低于棕色平台（ESG 得分小于 0）。因此，当开发者的代币留存率约为初始金额的一半时，用户应投资更多棕色代币。投机者应该投资棕色代币，因为开发者的代币留存率高。在其他情况下，投机者和用户需要投资绿色代币。接下来，还分析了政府的三项 ESG 政策对平台成熟或终止的影响。因此，我们建议采用中性的 ESG 政策，即政府可以对绿色和棕色平台采取高税收激励和高税收负担政策，而没有必要对绿色和棕色平台实施额外的补贴和惩罚政策。

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引用次数: 0

The effect of consumer willingness to pay on enterprises’ decisions about adopting low-carbon technology 消费者支付意愿对企业采用低碳技术决策的影响

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2024-10-19 DOI: 10.1016/j.najef.2024.102301

Yantao Ling , Yan Han , Qingzhong Ren , Jing Xu , Mengqiu Cao , Xing Gao

There is no ‘one size fits all’ product strategy for the ‘green’ market. Although prior studies have explored the influence of consumer environmental awareness on decisions pertaining to green production, further investigation is required regarding the impact of consumer willingness to pay (WTP) on green technology choices and product design, and the ongoing debate about the environmental consequences of both firm and consumer behaviour. This study aims to explore strategies adopted by an enterprise intending to introduce a green product. Utilising optimisation methodology, we investigate the strategies employed for introducing green products, considering pivotal factors such as consumers’ WTP, variable costs, the research costs associated with green technology, and the constraints imposed by the level of green technology. Our research investigates the strategies for introducing, and the optimal pricing of, green products, outlining the impact of the aforementioned factors on the market penetration of green products and company profits. Additionally, this research further explores the impact of consumers’ WTP and enterprises’ use of eco-friendly materials on environmental quality. The results indicate that the strategies for launching green products and the impact of eco-friendly materials on environmental quality depend on the enterprise’s technological parameters and consumers’ WTP. The findings suggest that the market penetration rate of green products increases in line with consumers’ WTP and the level of greenness of products, while higher research costs will decrease the penetration rate of green products. This research contributes to the field of green innovation by showcasing how enterprises make decisions about production and green technology innovation.

绿色 "市场没有 "一刀切 "的产品战略。尽管之前的研究已经探讨了消费者的环保意识对绿色生产决策的影响，但还需要进一步研究消费者的支付意愿（WTP）对绿色技术选择和产品设计的影响，以及企业和消费者行为对环境影响的持续讨论。本研究旨在探讨一家打算推出绿色产品的企业所采取的策略。利用优化方法，我们对引入绿色产品所采用的策略进行了研究，同时考虑了消费者的购买意愿、可变成本、与绿色技术相关的研究成本以及绿色技术水平所带来的限制等关键因素。我们的研究调查了引入绿色产品的策略和绿色产品的最优定价，概述了上述因素对绿色产品市场渗透率和公司利润的影响。此外，本研究还进一步探讨了消费者购买意愿和企业使用环保材料对环境质量的影响。结果表明，推出绿色产品的战略和环保材料对环境质量的影响取决于企业的技术参数和消费者的 WTP。研究结果表明，绿色产品的市场渗透率会随着消费者的 WTP 和产品的绿色程度而增加，而较高的研究成本会降低绿色产品的渗透率。这项研究通过展示企业如何做出生产和绿色技术创新决策，为绿色创新领域做出了贡献。

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引用次数: 0