Emerging Markets Review最新文献

This paper examines the impact of World Bank loan approvals on equity markets in borrowing countries. We exploit a rich dataset with World Bank loan commitments and daily stock market returns for 47 emerging markets, allowing us to study short run market reactions to news about World Bank programs. These programs fall into three categories: investment projects, structural adjustment loans that tie future macroeconomic reforms to future loan disbursements (prior to FY2006), and development policy loans that reward completed macroeconomic reforms with current loan disbursements (since FY2006). Event study analysis shows positive abnormal stock market returns on the trading day following investment project loan announcements. The effect depends on loan size as well as market characteristics. Structural adjustment loan announcements are followed by negative abnormal returns; development policy loan announcements, in contrast, are considered good news. This suggests that expected macroeconomic implications of policy change in response to loan conditions drive market reactions, and that changes in the conditionality and disbursement structure of World Bank policy lending were successful in improving market reactions to World Bank programs.

This study examines the effectiveness of Chinese environmental information disclosure (EID) regulations. We find that EID regulations improve firms' EID quality (i.e., exist information effect) and foster firms' green behavior (i.e., exist green effect). Mechanism analysis shows that due to lower audit risks, heavy-polluting firms are charged lower audit fees after the implementation of EID regulations; and due to less managerial myopia, heavy-polluting firms significantly increase green investment and green innovation following EID regulations. Additional heterogeneity analysis shows that these information and green effects can be strengthened by institutional environment factors, such as media coverage, audit quality and political cost.

Does financial development shield countries from the pass-through of financial shocks to real outcomes? We evaluate this question by characterizing the probability density of GDP growth conditional on foreign and domestic financial stress indicators in a panel of 24 emerging countries. Our robust results unveil a previously unexplored dual impact of higher degrees of financial development on the transmission of financial stress: while the effect of global factors is attenuated, the impact of domestic factors is exacerbated. This result highlights a previously unexplored channel through which financial development can alter the link between financial (in)stability and GDP growth.

Using data of Chinese A-share firms between 2010 and 2021, this paper examines whether and how share pledging affects corporate environmental, social, and governance (ESG) performance. We find that share pledging by major shareholders reduces corporate ESG performance, and this finding remains robust after various robustness tests, such as addressing endogeneity issues and using alternative measures. We also find that major shareholders' share pledging inhibits ESG performance by exacerbating short-term financial behaviors such as tunneling and earnings management and suppressing sustainable investments such as green innovation, social donations, and internal control. It suggests that firms with share pledging prioritize short-term financial activities and decrease investment in sustainable development. The heterogeneity tests show that investors focusing on long-term development, effective external monitoring, and internal governance could mitigate the negative impact of share pledging on sustainability performance. Furthermore, we find that the negative influence of share pledging on ESG performance occurs mainly in the sample in which the pledged funds are invested in entities other than the focal listed companies. Based on sustainable business development, this paper contributes to the literature on the economic consequences of share pledging. These findings are valuable and motivating for regulators and investors in their decision-making.

This study investigates risk spillovers among sub-Saharan African (SSA) stock markets, the Middle East, and North Africa (MENA). Analyzing daily data from March 27th, 2014, to January 24th, 2022, using a quantile connectedness approach, we find high and heterogeneous connectedness, particularly during extreme market conditions. Lower and upper quantiles exhibit the strongest connectivity and shock transmission. Network structure intensified during the global health crisis and subsequent recovery phase. Geopolitical and oil price uncertainty are significant drivers in risk spillovers between SSA and MENA equity markets. The observed variation in transfer spillovers across quantiles offers investors opportunities to optimize hedging strategies. Our findings underscore the need for policymakers to consider market interconnectedness when developing measures to address asset price sensitivity.

This study examines the within-industry and global volatility connectivity of the South African equity market during a major domestic energy crisis (load-shedding) and the COVID-19 pandemic. Using a time-varying parameter vector autoregressive model, we identify distinct patterns in volatility spillovers across periods of global and domestic crises. The onset of the COVID-19 pandemic increased interconnectedness between South Africa and global equity markets. In contrast, during domestic load-shedding, the Johannesburg Stock Exchange (JSE) became detached from international markets, highlighting the localized impact of this crisis. We find that the financial and energy industries are consistently net receivers and transmitters of shocks during both crises which demonstrate their systemic importance to South Africa. Our findings provide insights into the dynamic nature of volatility connectedness, with implications for risk management and policy formulation in Africa.