Pub Date : 2024-10-01DOI: 10.1016/j.najef.2024.102262
Yu Yan , Yan Tong , Yiming Wang
We establish a continuous-time heterogeneous beliefs model to discuss the mechanisms of Momentum and Reversal. Price learning, information transmission and extrapolative expectation are incorporated into a unified framework for the Momentum and Reversal. The calibration results from SP500 show that the presence of Extrapolators and Information-driven Traders are important influences of Momentum and Reversal in all phases. We also find that momentum and reversal become significantly stronger as belief weights approach true belief weights.
{"title":"Momentum mechanisms under heterogeneous beliefs","authors":"Yu Yan , Yan Tong , Yiming Wang","doi":"10.1016/j.najef.2024.102262","DOIUrl":"10.1016/j.najef.2024.102262","url":null,"abstract":"<div><div>We establish a continuous-time heterogeneous beliefs model to discuss the mechanisms of Momentum and Reversal. Price learning, information transmission and extrapolative expectation are incorporated into a unified framework for the Momentum and Reversal. The calibration results from SP500 show that the presence of Extrapolators and Information-driven Traders are important influences of Momentum and Reversal in all phases. We also find that momentum and reversal become significantly stronger as belief weights approach true belief weights.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102262"},"PeriodicalIF":3.8,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425832","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 : 2024-09-30DOI: 10.1016/j.najef.2024.102294
Dan Owusu Amponsah , Mohammad Abdullah , Emmanuel Joel Aikins Abakah , Joshua Yindenaba Abor , Chi-Chuan Lee
This study examines the multiscale tail risk integration between safe-haven assets and top equity markets in Africa (South Africa, Kenya, Egypt, Ghana, Nigeria, Botswana, Zambia, and Morocco) as well as portfolio implications. We further investigate the role of global economic factors in these relationships by employing Conditional Autoregressive Value at Risk and Complete Ensemble Empirical Mode Decomposition with Adaptive Noise-based TVP-VAR with data spanning from January 2010 to September 2024. Our findings show that while the equity market in South Africa is a net transmitter of tail risk spillovers, the rest of the equity markets are net receivers. They also reveal that while gold and silver transmit significant shocks to the other assets, Bitcoin receives considerable shocks from the other assets. We conclude that global economic factors and spillovers from safe-haven assets significantly affect the tail risk exposures of Africa’s equity markets. Our findings have significant implications for investment decision-making.
{"title":"Multiscale tail risk integration between safe-haven assets and Africa’s emerging equity market","authors":"Dan Owusu Amponsah , Mohammad Abdullah , Emmanuel Joel Aikins Abakah , Joshua Yindenaba Abor , Chi-Chuan Lee","doi":"10.1016/j.najef.2024.102294","DOIUrl":"10.1016/j.najef.2024.102294","url":null,"abstract":"<div><div>This study examines the multiscale tail risk integration between safe-haven assets and top equity markets in Africa (South Africa, Kenya, Egypt, Ghana, Nigeria, Botswana, Zambia, and Morocco) as well as portfolio implications. We further investigate the role of global economic factors in these relationships by employing Conditional Autoregressive Value at Risk and Complete Ensemble Empirical Mode Decomposition with Adaptive Noise-based TVP-VAR with data spanning from January 2010 to September 2024. Our findings show that while the equity market in South Africa is a net transmitter of tail risk spillovers, the rest of the equity markets are net receivers. They also reveal that while gold and silver transmit significant shocks to the other assets, Bitcoin receives considerable shocks from the other assets. We conclude that global economic factors and spillovers from safe-haven assets significantly affect the tail risk exposures of Africa’s equity markets. Our findings have significant implications for investment decision-making.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102294"},"PeriodicalIF":3.8,"publicationDate":"2024-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425749","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 : 2024-09-24DOI: 10.1016/j.najef.2024.102291
Radu Lupu , Adrian Cantemir Călin , Dan Gabriel Dumitrescu , Iulia Lupu
This paper is devoted to the development of an innovative fragility index designed to capture comprehensively the dynamics of financial stability during periods characterized by asset bubbles. Utilizing a multifaceted methodological framework, the study begins by identifying bubble occurrences and calculating the delta CoVaR systemic risk metric. Building on established macroeconomic methodologies, we then propose an indicator to quantify the impact of financial bubbles on the stability of an emerging market. Specifically, we construct two coincident indicators based on daily observations of financial stability for the twenty most liquid Romanian companies. The first indicator is derived from the delta CoVaR values of these companies, while the second is computed using the residuals of a model that employs the same financial stability metric as the dependent variable, with a binary variable representing the presence of asset bubbles as the explanatory factor. This second coincident indicator tracks financial stability in the absence of bubble effects. The disparity between these two indicators forms the basis for the creation of an index, termed the “bubble fragility index,” which measures the overall susceptibility of financial stability to asset bubbles. In the context of the Romanian market, this study demonstrates that periods marked by asset bubbles are associated with elevated systemic risks. Our findings indicate that the presence of bubbles significantly intensifies financial risk factors, creating conditions conducive to severe market corrections and economic downturns. We identify specific intervals during which fragility reaches peak levels, including June to September 2018, December 2018 to March 2019, March 2020, and March 2022.
{"title":"Introducing a novel fragility index for assessing financial stability amid asset bubble episodes","authors":"Radu Lupu , Adrian Cantemir Călin , Dan Gabriel Dumitrescu , Iulia Lupu","doi":"10.1016/j.najef.2024.102291","DOIUrl":"10.1016/j.najef.2024.102291","url":null,"abstract":"<div><div>This paper is devoted to the development of an innovative fragility index designed to capture comprehensively the dynamics of financial stability during periods characterized by asset bubbles. Utilizing a multifaceted methodological framework, the study begins by identifying bubble occurrences and calculating the delta CoVaR systemic risk metric. Building on established macroeconomic methodologies, we then propose an indicator to quantify the impact of financial bubbles on the stability of an emerging market. Specifically, we construct two coincident indicators based on daily observations of financial stability for the twenty most liquid Romanian companies. The first indicator is derived from the delta CoVaR values of these companies, while the second is computed using the residuals of a model that employs the same financial stability metric as the dependent variable, with a binary variable representing the presence of asset bubbles as the explanatory factor. This second coincident indicator tracks financial stability in the absence of bubble effects. The disparity between these two indicators forms the basis for the creation of an index, termed the “bubble fragility index,” which measures the overall susceptibility of financial stability to asset bubbles. In the context of the Romanian market, this study demonstrates that periods marked by asset bubbles are associated with elevated systemic risks. Our findings indicate that the presence of bubbles significantly intensifies financial risk factors, creating conditions conducive to severe market corrections and economic downturns. We identify specific intervals during which fragility reaches peak levels, including June to September 2018, December 2018 to March 2019, March 2020, and March 2022.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102291"},"PeriodicalIF":3.8,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425748","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 : 2024-09-24DOI: 10.1016/j.najef.2024.102293
Chia-Hsien Tang , Hung-Chun Liu , Yen-Hsien Lee , Yuan-Teng Hsu
This study investigates the relationship between risk factors of Environmental, Social, and Governance (ESG) and the downside risk of U.S. firms and tackles the role of economic policy uncertainty (EPU) in this relationship. Our results show that the downside risk of firms, as measured by value-at-risk and lower partial moment, is positively affected by ESG risk scores, and that this effect becomes more pronounced as EPU rises. These results are robust to two other alternative measures of ESG risk. We argue that enhancing ESG management and adaptability to economic uncertainty is crucial for aligning with sustainable development goals. Our findings provide valuable insights for U.S. firms, investors, and policymakers looking to navigate the evolving risk landscape.
{"title":"ESG risk, economic policy uncertainty, and the downside risk: Evidence from US firms","authors":"Chia-Hsien Tang , Hung-Chun Liu , Yen-Hsien Lee , Yuan-Teng Hsu","doi":"10.1016/j.najef.2024.102293","DOIUrl":"10.1016/j.najef.2024.102293","url":null,"abstract":"<div><div>This study investigates the relationship between risk factors of Environmental, Social, and Governance (ESG) and the downside risk of U.S. firms and tackles the role of economic policy uncertainty (EPU) in this relationship. Our results show that the downside risk of firms, as measured by value-at-risk and lower partial moment, is positively affected by ESG risk scores, and that this effect becomes more pronounced as EPU rises. These results are robust to two other alternative measures of ESG risk. We argue that enhancing ESG management and adaptability to economic uncertainty is crucial for aligning with sustainable development goals. Our findings provide valuable insights for U.S. firms, investors, and policymakers looking to navigate the evolving risk landscape.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102293"},"PeriodicalIF":3.8,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425791","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 : 2024-09-24DOI: 10.1016/j.najef.2024.102292
Masoumeh Fathi , Klaus Grobys , Janne Äijö
This is the first study that explicitly explores the risk of the Fama and French equity factors in terms of their realized variances. Our results show that realized factor variances exhibit strong power-law behavior. A striking commonality is that the power-law exponents are close to α ≈ 2 regardless of which factor variance is analyzed. Notably, our novel joint test designed to test Mandelbrot’s infinite variance hypothesis in the cross-section of realized factor variances shows that the null hypothesis of α = 1.9 cannot be rejected, which further corroborates the evidence that (a) there exist a common component governing factor variance risk, and (b) factor variance risk is statistically undefined. Further evidence derived from co-fractality analysis shows that (c) risk diversification appears to be very limited as factor variances tend to exhibit power-law behavior coincidently. We argue that our study has several theoretical and practical implications—especially due to the fact that factor investing reached $5 trillion in assets under management.
{"title":"A common component of Fama and French factor variances","authors":"Masoumeh Fathi , Klaus Grobys , Janne Äijö","doi":"10.1016/j.najef.2024.102292","DOIUrl":"10.1016/j.najef.2024.102292","url":null,"abstract":"<div><div>This is the first study that explicitly explores the risk of the Fama and French equity factors in terms of their realized variances. Our results show that realized factor variances exhibit strong power-law behavior. A striking commonality is that the power-law exponents are close to α ≈ 2 regardless of which factor variance is analyzed. Notably, our novel joint test designed to test Mandelbrot’s infinite variance hypothesis in the cross-section of realized factor variances shows that the null hypothesis of α = 1.9 cannot be rejected, which further corroborates the evidence that (a) there exist a common component governing factor variance risk, and (b) factor variance risk is statistically undefined. Further evidence derived from co-fractality analysis shows that (c) risk diversification appears to be very limited as factor variances tend to exhibit power-law behavior coincidently. We argue that our study has several theoretical and practical implications—especially due to the fact that factor investing reached $5 trillion in assets under management.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102292"},"PeriodicalIF":3.8,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425833","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-19DOI: 10.1016/j.najef.2024.102290
Yuping Deng , Haicheng Wang , Cenjie Liu
Since the announcement of China’s dual circulation strategy, family firms’ participation in mergers and acquisitions (M&As) has been prevalent. This paper investigates the impacts of family CEOs on firm M&As and further explains how family CEOs affect firm M&A performance by reducing agency costs and enhancing internal control quality. We find that listed family firms controlled by family CEOs have better M&A performance than family firms controlled by non-family CEOs, and this effect is more profound for firms located in coastal areas or regions with low levels of social trust and equity restrictions. Our research provides an important reference for coordination between family business governance and firm performance.
{"title":"Sources of CEO power and firm mergers & acquisitions——Evidence from Chinese listed family firms","authors":"Yuping Deng , Haicheng Wang , Cenjie Liu","doi":"10.1016/j.najef.2024.102290","DOIUrl":"10.1016/j.najef.2024.102290","url":null,"abstract":"<div><div>Since the announcement of China’s dual circulation strategy, family firms’ participation in mergers and acquisitions (M&As) has been prevalent. This paper investigates the impacts of family CEOs on firm M&As and further explains how family CEOs affect firm M&A performance by reducing agency costs and enhancing internal control quality. We find that listed family firms controlled by family CEOs have better M&A performance than family firms controlled by non-family CEOs, and this effect is more profound for firms located in coastal areas or regions with low levels of social trust and equity restrictions. Our research provides an important reference for coordination between family business governance and firm performance.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102290"},"PeriodicalIF":3.8,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142318698","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 : 2024-09-17DOI: 10.1016/j.najef.2024.102286
Mei-Chih Wang , Peiyun Jiang , Tsangyao Chang
This study explores the role of green bonds in mitigating risks during extreme conditions, considering China and the US’ robust green bond markets and global risk events. It analyzes the interconnectedness of green bonds with other sectors like conventional bonds, equities, crude oil, and monetary policy. Using the quantile connectedness approach, it reveals how stabilized green bond markets in both countries act as hedges during extreme situations. By examining time-varying spillover effects, it identifies commonalities and differences in linkages between green bond markets and other sectors. These findings endorse green bonds’ integration into finance and hold implications for enhancing portfolio management and risk models.
{"title":"Re-examining China and the u.s.’s respective green bond markets in extreme conditions: Evidence from quantile connectedness","authors":"Mei-Chih Wang , Peiyun Jiang , Tsangyao Chang","doi":"10.1016/j.najef.2024.102286","DOIUrl":"10.1016/j.najef.2024.102286","url":null,"abstract":"<div><p>This study explores the role of green bonds in mitigating risks during extreme conditions, considering China and the US’ robust green bond markets and global risk events. It analyzes the interconnectedness of green bonds with other sectors like conventional bonds, equities, crude oil, and monetary policy. Using the quantile connectedness approach, it reveals how stabilized green bond markets in both countries act as hedges during extreme situations. By examining time-varying spillover effects, it identifies commonalities and differences in linkages between green bond markets and other sectors. These findings endorse green bonds’ integration into finance and hold implications for enhancing portfolio management and risk models.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102286"},"PeriodicalIF":3.8,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142272568","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 : 2024-09-13DOI: 10.1016/j.najef.2024.102289
Ritesh Patel , Sanjeev Kumar , Shalini Agnihotri
This study focuses to examine the connectedness among the Green Investments, NFTs, DeFis & Green Cryptocurrencies, along with the portfolio diversification and hedging potential of the Green Investment against the other investments. We examined the connectedness using the Quantile VAR and Wavelet Quantile Correlation method, indicating the existence of the partial connectedness among the selected assets. The connectedness among the assets changes due to change in global uncertainty caused by Covid-19 and Russia-Ukraine war. The green investment offers the hedging benefits to other green investment. Among all crypto assets, Dai serve as a good hedge for the green investment and other crypto assets. MCoP is best performing portfolio with Sharpe ratio, followed by MCP. However, the investment as per MCoP and MCP approaches increases the volatility of green assets. Further, the hedging benefits are varying with the changing global dynamics. None of the approach gives positive cumulative return and Sharpe ratio to the investors during the Russia-Ukraine war period. Our study has implications for the investors and portfolio managers with respect to portfolio framing and fund allocation.
{"title":"Unveiling the crypto-green nexus: A risk management and investment strategy approach through the lens of NFTs, DeFis, green cryptocurrencies, and green investments","authors":"Ritesh Patel , Sanjeev Kumar , Shalini Agnihotri","doi":"10.1016/j.najef.2024.102289","DOIUrl":"10.1016/j.najef.2024.102289","url":null,"abstract":"<div><p>This study focuses to examine the connectedness among the Green Investments, NFTs, DeFis & Green Cryptocurrencies, along with the portfolio diversification and hedging potential of the Green Investment against the other investments. We examined the connectedness using the Quantile VAR and Wavelet Quantile Correlation method, indicating the existence of the partial connectedness among the selected assets. The connectedness among the assets changes due to change in global uncertainty caused by Covid-19 and Russia-Ukraine war. The green investment offers the hedging benefits to other green investment. Among all crypto assets, Dai serve as a good hedge for the green investment and other crypto assets. MCoP is best performing portfolio with Sharpe ratio, followed by MCP. However, the investment as per MCoP and MCP approaches increases the volatility of green assets. Further, the hedging benefits are varying with the changing global dynamics. None of the approach gives positive cumulative return and Sharpe ratio to the investors during the Russia-Ukraine war period. Our study has implications for the investors and portfolio managers with respect to portfolio framing and fund allocation.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102289"},"PeriodicalIF":3.8,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142266330","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 : 2024-09-12DOI: 10.1016/j.najef.2024.102287
Thanh Nam Vu , Heikki Lehkonen , Juha-Pekka Junttila , Brian Lucey
We analyze ESG-based investments in stocks across 23 developed markets using daily data from 2004 to 2022. The findings suggest a weak relationship between the ESG ratings and expected returns, with some evidence of modest underperformance of high ESG stocks compared to lower-rated ones in specific periods. This outcome indicates that stock prices have already reflected ESG information, and well-known asset pricing factors can effectively capture the returns of portfolios based on ESG ratings. However, the strength of this relationship depends on global attention to sustainability, where high ESG-rated stocks tend to gain advantages during unexpected attention increases, highlighting the dynamic, nonlinear nature of this relationship.
{"title":"ESG investment performance and global attention to sustainability","authors":"Thanh Nam Vu , Heikki Lehkonen , Juha-Pekka Junttila , Brian Lucey","doi":"10.1016/j.najef.2024.102287","DOIUrl":"10.1016/j.najef.2024.102287","url":null,"abstract":"<div><p>We analyze ESG-based investments in stocks across 23 developed markets using daily data from 2004 to 2022. The findings suggest a weak relationship between the ESG ratings and expected returns, with some evidence of modest underperformance of high ESG stocks compared to lower-rated ones in specific periods. This outcome indicates that stock prices have already reflected ESG information, and well-known asset pricing factors can effectively capture the returns of portfolios based on ESG ratings. However, the strength of this relationship depends on global attention to sustainability, where high ESG-rated stocks tend to gain advantages during unexpected attention increases, highlighting the dynamic, nonlinear nature of this relationship.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102287"},"PeriodicalIF":3.8,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062940824002122/pdfft?md5=f2467fdde9d4ef5a45a049767cd85053&pid=1-s2.0-S1062940824002122-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142232409","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-12DOI: 10.1016/j.najef.2024.102288
Youtao Xiang, Sumuya Borjigin
Utilizing a dataset from 2013 to 2022 on China’s listed companies, we explored whether a hedge fund network could help explain the occurrence of Chinese stock crash. First, this study constructs a hedge fund network based on common holdings. Then, from the perspective of network centrality, we explore the impact of hedge fund network on stock crash risk and its mechanisms. Our findings suggest that companies with greater network centrality experience lower stock crash risk. Such results remain valid after alternating measures, using the propensity score matching method, and excluding other network effects. We further document that the centrality of hedge fund network reduces crash risk through two channels: information asymmetry and governance monitoring. In addition, the negative impact of hedge fund network centrality on stock crash risk is more pronounced for non-SOEs firms. In summary, our research shed light on the important role of hedge fund information network in curbing stock crash.
{"title":"Hedge funds network and stock price crash risk","authors":"Youtao Xiang, Sumuya Borjigin","doi":"10.1016/j.najef.2024.102288","DOIUrl":"10.1016/j.najef.2024.102288","url":null,"abstract":"<div><p>Utilizing a dataset from 2013 to 2022 on China’s listed companies, we explored whether a hedge fund network could help explain the occurrence of Chinese stock crash. First, this study constructs a hedge fund network based on common holdings. Then, from the perspective of network centrality, we explore the impact of hedge fund network on stock crash risk and its mechanisms. Our findings suggest that companies with greater network centrality experience lower stock crash risk. Such results remain valid after alternating measures, using the propensity score matching method, and excluding other network effects. We further document that the centrality of hedge fund network reduces crash risk through two channels: information asymmetry and governance monitoring. In addition, the negative impact of hedge fund network centrality on stock crash risk is more pronounced for non-SOEs firms. In summary, our research shed light on the important role of hedge fund information network in curbing stock crash.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102288"},"PeriodicalIF":3.8,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142242212","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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