Emerging Markets Review最新文献

We investigate the state-varying risk taking behavior of actively managed mutual funds by considering their transaction costs in trading securities. Our tournament model equilibrium suggests that, while transaction costs are low, interim winner funds tend to hold more volatile portfolios than interim losers. However, while transaction costs are high, the interim losers may take more risk than interim winners, and such behavior is more significant in the negative risk premium state for funds. We provide robust empirical evidence of state-varying risk-taking in both U.S. and China from 2005 to 2019. The U.S. mutual fund tournaments are less influenced given the bid-ask spreads on the stock market are 20 bps lower than that in China.

Using a large panel of official bilateral loan data for 111 borrowing countries and 73 lending countries between 1985 and 2020, the paper shows that international government borrowing from bilateral sources is acyclical with respect to the business cycle of the borrower but procyclical with respect to the cycle of the lending country. This result holds in the case of loans from advanced economies and China, currently the largest supplier of official bilateral lending to the average developing country. We find this form of procyclicality most notable during contractions in origin countries and most often among middle-income recipient countries across most world regions. We also find that bilateral loans follow economic links captured through bilateral trade. The results are consistent across a battery of robustness tests.

In this paper, we conduct an empirical evaluation of currency hedging (FXH) strategies designed for Latin American investors managing portfolios of US assets with performance measured in their local currency. By analyzing the volatility and value-at-risk (VaR) of the hedged portfolio, our results reveal that FXH is inefficient in lowering portfolio risk when applied to underlying foreign risk-assets like equities and low credit quality corporate bonds. Conversely, a significant reduction in volatility is evident with FXH when the investments are in safer assets, such as high-grade government and corporate bonds.

This paper explores the impact of state antiquity (the length of established statehood) on capitalism. We argue that extractive institutions may prevail in societies with ancient roots and offer the in-depth analysis of one particular channel through which these institutions may impair economic growth: the finance-growth nexus. We propose that in countries with ancient statehood, the financial sector might be captured by powerful economic and political elites leading to a distorted finance-growth relationship. We build a model in which the equilibrium relationship between companies and banks depends on elites' entrenchment and the length of established statehood. To validate our argument, we run panel-threshold regressions on a global sample between 1975 and 2014. The results show that financial development—measured by the amount of credit—is indeed negative for growth in states with ancient institutional origins, while it is positive in relatively younger ones. Based on firm-level data, we also find that corruption in lending increases with antiquity.

This study examines how the corporate social responsibility (CSR) of multinational enterprises (MNEs) operating in Ghana is affected by home country governance and corporate governance. Using data manually collected from a sample of MNEs from 2010 to 2018, we find that (1) MNE CSR is positively affected by home country governance; and (2) the positive effect of home country governance is strengthened by the subsidiary's board independence but not by board gender diversity. Our additional analyses show that MNEs from better governed home countries are more likely to establish CSR foundations and that CSR foundations have positive impact on MNE CSR. This study contributes to the literature on MNE CSR by providing empirical evidence from Ghana, where MNEs play an increasingly important role but scholars have paid little attention to what drives corporate giants to help address the country's social issues.

We investigate the contagion of US COVID-19 panic news, measured by the sentiment-based RavenPack US Panic Index, on the local stock market returns of 48 countries. Local stock market returns are found to be more significantly negatively associated with the US panic news than local panic news. Our results show that a 1% increase in the US Panic Index reduces local stock returns by 1.44%. The result holds for regional and subregional groupings and are robust to alternative measures of COVID-19 information. Furthermore, our contagion channel analysis shows that the differences of opinion channel is the key contagion transmission channel from the US to local markets. This alludes to the investor behavior contagion view, and not the fundamental contagion view, being the main driver of global contagion during the pandemic.

This research focuses on the cash conversion cycle as a crucial metric for evaluating short-term firm performance. Despite its importance, there has been limited investigation into the relationship between the cash conversion cycle and firm performance within the five major emerging markets, namely Brazil, Russia, India, China, and South Africa (BRICS) as a single region. To bridge this gap, our study examines this relationship using a comprehensive dataset spanning the period of 2009–2019. Employing a set of regression analyses namely, seemingly unrelated regression, system generalized method of moments, dynamic quantile regression, and difference-in-difference regression, we provide empirical evidence indicating an inverse association between cash conversion cycle and firm performance across all BRICS countries. Specifically, firms with longer cash conversion cycle periods exhibit lower profitability compared to those with shorter cash conversion cycle periods. Moreover, our analysis incorporates various control variables encompassing firm and country characteristics, which also display significant relationships with firm performance. These empirical findings are robust, aligned with existing theoretical frameworks, and support the cash conversion cycle theory. The outcomes of this study offer valuable insights for investors, policymakers, financial managers, and debt holders, contributing to their decision-making processes.

Enforcement actions aim to strengthen financial stability, and China has gradually bolstered the intensity of its own related actions. This research manually sorts out the enforcement action decision documents published by the China Banking and Insurance Regulatory Commission one by one, constructs micro-level enforcement action indicators, uses $△\mathrm{CoVaR}$ and connectedness, and empirically examines the relationship between enforcement actions and banking systemic risk from global and connectedness perspectives. We find that enforcement actions reduce systemic risk in banks and have a continuous reduction effect within three quarters after their initiation. The reduction impact of enforcement actions on connectedness is only reflected after two quarters of initiation. In addition, we adopt the $△\mathrm{CoVaR}$ decomposition method and find that enforcement actions significantly reduce the tail risk of banks and lower their interconnectedness, but with a time lag effect. Lastly, we evaluate the systemic risk of enforcement actions on different types of banks and note that they substantially reduce such risk in high-capital and state-owned banks more than in low-capital and joint-stock banks.

This paper explores inflows and outflows patterns in retail equity mutual funds related to past and future performance derived from detailed monthly security-level holdings of funds in the Czech Republic. We find that retail investors become sensitive to bad performance in times of aggregate illiquidity and while investing in funds that hold more illiquid assets. Moreover, we document that when facing illiquidity and deteriorating performance, under-performing equity investing funds experience lower investor purchases and a larger share of redemption requests. We observe similar investor behaviour in periods when retail investors face constraints on their disposable income.

This study investigates whether and how digital transformation affects corporate labor investment efficiency. Based on a sample of Chinese listed firms from 2008 to 2020, this paper finds that digital transformation increases corporate labor investment efficiency. Our results still hold after using a series of robustness checks. Mechanism tests show that reducing agency problems and mitigating financing restrictions are potential channels through which digital transformation improves corporate labor investment efficiency. Further analyses reveal that digital transformation reduces both overinvestment and underinvestment in labor. Distinguishing different digital technologies, we find that artificial intelligence, big data, cloud computing technology, as well as digital technology applications improve corporate labor investment efficiency, while the impact of blockchain technology is insignificant. In addition, digital transformation's positive effect on corporate labor investment efficiency is more pronounced for firms in non-labor-intensive industries, private firms, and those with more highly skilled labor. Overall, this study deepens our understanding of digital transformation's governance role in improving corporate labor investment efficiency.