Quarterly Review of Economics and Finance最新文献

英文中文

Hedging uncertainty: Bitcoin's asymmetric diversification benefits in factor-based portfolios 对冲不确定性：比特币的非对称多样化有利于基于因素的投资组合

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 Epub Date: 2025-05-27 DOI: 10.1016/j.qref.2025.102015

Ion-Iulian Marinescu , Nawazish Mirza , Alexandra Horobet , Lucian Belascu

This paper examines the benefits of adding Bitcoin in a portfolio framework that also includes the five Fama-French risk factor portfolios in periods of low versus high US economic policy uncertainty (EPU). The empirical investigation utilizes data spanning from 2015 to 2023 and follows a two-step methodological approach. First, the US EPU monthly time series is segmented in sub-periods characterized by high and low EPU, determined using the Bai-Perron structural breaks test. Secondly, we employ the mean-CVaR portfolio optimization approach that seeks to maximize risk-adjusted expected returns on portfolios that are formed with and without Bitcoin. We find that the optimal weight of Bitcoin asset increases and subsequently the risk-adjusted performance of the Bitcoin portfolio improves in periods of high EPU, as opposed to periods of low EPU. Our results are robust to rolling estimation windows, different rebalance frequencies and alternative portfolio construction techniques. This asymmetric impact is critical and should be incorporated in portfolio decisions, as it shows that Bitcoin is most useful as a diversifier in periods where the economic uncertainty is relatively high. The obtained results also reinforce the idea that crypto assets are independent from the existing financial system.

本文研究了在投资组合框架中添加比特币的好处，该框架还包括在美国经济政策不确定性（EPU）低与高时期的五个Fama-French风险因素投资组合。该实证调查利用了2015年至2023年的数据，并采用了两步方法。首先，使用Bai-Perron结构断裂检验将美国EPU月时间序列分割为以高EPU和低EPU为特征的子周期。其次，我们采用均值cvar投资组合优化方法，旨在最大化有和没有比特币的投资组合的风险调整后的预期回报。我们发现比特币资产的最优权重增加，随后比特币投资组合的风险调整绩效在高EPU时期有所改善，而不是低EPU时期。我们的结果对滚动估计窗口、不同的再平衡频率和可选择的投资组合构建技术具有鲁棒性。这种不对称的影响是至关重要的，应该纳入投资组合决策，因为它表明，在经济不确定性相对较高的时期，比特币作为一种多元化工具最有用。获得的结果也强化了加密资产独立于现有金融体系的观点。

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引用次数: 0

Sentiment-return relation and stock price synchronicity: Firm-level versus market-level sentiment 情绪回报关系与股价同步性：公司层面与市场层面的情绪

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 Epub Date: 2025-04-20 DOI: 10.1016/j.qref.2025.102007

Karam Kim , Jonathan A. Batten , Doojin Ryu

This study examines how investor sentiment affects stock returns under different levels of stock price synchronicity. Firm-level (market-level) sentiment has a stronger impact on low- (high-) synchronicity stocks. While firm-level sentiment effects remain stable over time, market-level sentiment effects intensify across all stocks during the pandemic. Uninformed investors consistently rely more on firm-level sentiment when trading low-synchronicity stocks but shift to market-level sentiment when deciding on their participation during the pandemic. These results remain robust after controlling firm size and calendar effects, and applying an alternative market-level sentiment measure.

本研究考察了不同股价同步性水平下投资者情绪对股票收益的影响。公司层面（市场层面）的情绪对低（高）同步性股票的影响更大。虽然企业层面的情绪影响随着时间的推移保持稳定，但在疫情期间，所有股票的市场层面情绪影响都会加剧。不知情的投资者在交易低同步性股票时，一贯更多地依赖于公司层面的情绪，但在疫情期间决定是否参与时，则转向市场层面的情绪。在控制了公司规模和日历效应，并采用另一种市场层面的情绪衡量标准后，这些结果仍然稳健。

引用次数: 0

How does FinTech affect power consumption intensity in China? 金融科技如何影响中国的电力消费强度？

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 Epub Date: 2025-05-22 DOI: 10.1016/j.qref.2025.102017

Xiaohui Chen , Hongwei Zhang , Xiang Cheng

Promoting the decarbonization of the economy and society is an integral component of achieving high-quality development. While the rapid advancement of financial technology (FinTech) has played a crucial role in shaping the economic and social development model, its impact on decarbonization has received limited attention in previous studies. To address this gap, this study establishes a partial theoretical equilibrium analysis framework and computes provincial FinTech development indices for Chinese provinces spanning from 2008 to 2022. Subsequently, we empirically examine the impact of FinTech on power consumption intensity. This study observes that FinTech possesses the capacity to diminish power consumption intensity, with this intensity progressively declining as FinTech advancements occur. Notably, FinTech’s impact on loan growth serves as a pivotal intermediary in reducing power consumption intensity. By fostering a risk-friendly environment for banks, FinTech stimulates increased loan growth, thereby alleviating the financial strain on electricity providers and subsequently reducing power usage intensity. This study not only contributes to practical applications but also enriches our understanding of the intricate interplay between FinTech and power consumption, shedding light on the potential for decarbonization within the economy and society.

推动经济社会脱碳，是实现高质量发展的重要组成部分。虽然金融技术（FinTech）的快速发展在塑造经济和社会发展模式方面发挥了至关重要的作用，但其对脱碳的影响在以往的研究中受到的关注有限。为了解决这一差距，本研究建立了部分理论均衡分析框架，并计算了2008年至2022年中国各省金融科技发展指数。随后，我们实证检验了金融科技对电力消耗强度的影响。本研究发现，金融科技具有降低电力消耗强度的能力，随着金融科技的进步，这种强度逐渐下降。值得注意的是，金融科技对贷款增长的影响是降低电力消耗强度的关键中介。通过为银行营造一个风险友好型环境，金融科技刺激了贷款的增长，从而减轻了电力供应商的财务压力，从而降低了电力使用强度。这项研究不仅有助于实际应用，而且丰富了我们对金融科技与电力消耗之间错综复杂的相互作用的理解，揭示了经济和社会中脱碳的潜力。

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引用次数: 0

Nurturing nature: The role of green finance in reviving urban biodiversity 培育自然：绿色金融在恢复城市生物多样性中的作用

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 Epub Date: 2025-04-10 DOI: 10.1016/j.qref.2025.102005

Zhiyuan Gao , Ying Zhao , Lianqing Li , Yu Hao

China's green finance (GF) policies have been progressively implemented and strengthened, positioning GF as a pivotal catalyst for biodiversity enhancement. This study employs the GF Innovation and Reform Zones as a quasi-experimental setting to examine the influence and underlying mechanisms of GF on biodiversity, utilizing data from 278 Chinese cities. The findings indicate that GF markedly improves urban biodiversity. Heterogeneity analysis reveals that GF positively impacts biodiversity in western cities, cities with advanced economic development, resource-centric cities, and small to medium-sized urban centers. Mechanism tests identify ecological value realization and climate change as key pathways through which GF augments biodiversity levels. Given the intricate nature and pressing need for biodiversity conservation, this study offers a theoretical framework for leveraging GF in biodiversity preservation efforts.

中国的绿色金融政策已逐步落实和加强，绿色金融已成为促进生物多样性的重要催化剂。本文利用278个中国城市的数据，以广域创新改革区为准实验环境，探讨了广域创新改革对生物多样性的影响及其机制。结果表明，GF显著改善了城市生物多样性。异质性分析表明，GF对西部城市、经济发达城市、资源中心城市和中小中心城市的生物多样性具有正向影响。机制测试表明，生态价值实现和气候变化是GF增加生物多样性水平的关键途径。鉴于生物多样性保护的复杂性和迫切需要，本研究为利用GF进行生物多样性保护工作提供了理论框架。

引用次数: 0

Green bonds: A demographic study of Retail Investors in India 绿色债券：印度散户投资者的人口统计研究

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 Epub Date: 2025-03-11 DOI: 10.1016/j.qref.2025.101991

Shalini Aggarwal , Farhat Aziz Lone , Manisha Paliwal

The primary objective of this study is to investigate the impact of age, gender, education, occupation, investment experience, and income allocation on the perception of retail investor towards investment in green bond. Also, the study analyse the impact of three notable factors i.e. Environmental consciousness (EC), Concern for well being (CWB), Religious value and commitment (RVC) on Green bonds investor intention (GBII). Overall, the study used a descriptive research design, collected data from primary and secondary sources. Descriptive statistics, ANOVA, and the correlation test were used to investigate the factors influencing investors' perceptions of green bond investments. PLS SEM is used to analyse the impact of EC, CWB and RVC on GBII. It had a sample size of 406 respondents. The findings indicate a significant gender disparity among green bond investors. The majority of investors are men (343), while only a small percentage of women (63) participate in this market. This gender bias calls for targeted initiatives to encourage greater female participation and ensure a more inclusive and diverse investor base. The present study will help fund managers, brokers, companies, and policymakers in understanding retail investors' perceptions of GBs. It will also provide valuable insights for policymakers to make informed decisions about GB regulations and strategies.

本研究的主要目的是探讨年龄、性别、教育程度、职业、投资经验和收入分配对散户投资者绿色债券投资认知的影响。此外，研究还分析了环境意识（EC）、福祉关怀（CWB）、宗教价值和承诺（RVC）三个显著因素对绿色债券投资者意向（GBII）的影响。总体而言，本研究采用描述性研究设计，从一手和二手来源收集数据。运用描述性统计、方差分析及相关检验，探讨影响投资者对绿色债券投资认知的因素。利用PLS扫描电镜分析了EC、CWB和RVC对GBII的影响。该调查的样本量为406人。研究结果表明，绿色债券投资者存在显著的性别差异。大多数投资者是男性（343人），而只有一小部分女性（63人）参与这个市场。这种性别偏见要求采取有针对性的举措，鼓励更多女性参与，确保投资者基础更加包容和多样化。本研究将有助于基金经理、经纪人、公司和政策制定者理解散户投资者对国债的看法。它还将为决策者就GB法规和战略做出明智的决策提供有价值的见解。

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引用次数: 0

Cross-border mergers and acquisitions: The interplay of cultural differences and prior M&A activity 跨国并购：文化差异与先前并购活动的相互作用

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 Epub Date: 2025-05-05 DOI: 10.1016/j.qref.2025.102008

Fatos Radoniqi, Roger White

We examine the extent to which cross-border mergers and acquisitions (M&A) are affected by national cultural differences (i.e., cultural distance) and prior M&A activity. Our empirical specification follows the standard gravity framework. Estimating a series of Tobit models using bilateral data that represent 9389 mergers involving firms in 30 countries over three periods (1995–1998, 2005–2008, and 2017–2020), we find a negative but declining influence of cultural distance on cross-border M&A activity. We also find merger activity involving firms in a particular country pair is positively related to subsequent M&A activity and that this experience counteracts the hindering influence of cultural differences, which becomes insignificant after approximately ten prior mergers. Our findings are robust to sample composition, choice of periods examined, model specification, estimation technique, and alternative measurements of both cultural distance and prior M&A activity.

我们考察了跨国并购在多大程度上受到国家文化差异（即文化距离）和先前并购活动的影响。我们的经验规范遵循标准重力框架。我们利用代表30个国家9389起企业并购的双边数据，在三个时期（1995-1998年、2005-2008年和2017-2020年）对一系列Tobit模型进行了估计，发现文化距离对跨国并购活动的影响呈负向下降趋势。我们还发现，涉及特定国家对公司的合并活动与随后的并购活动呈正相关，并且这种经验抵消了文化差异的阻碍影响，文化差异在大约十次之前的合并后变得微不足道。我们的研究结果对于样本组成、检验周期的选择、模型规格、估计技术以及文化距离和先前的M&；A活动的替代测量都是稳健的。

引用次数: 0

Board gender diversity and CEO compensation: Strengthening governance and pay-performance sensitivity 董事会性别多元化与CEO薪酬：强化治理和薪酬绩效敏感性

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 Epub Date: 2025-05-08 DOI: 10.1016/j.qref.2025.102009

Chandra S. Mishra

This study examines the relationship between female directorship and CEO compensation, focusing on pay-performance sensitivity, total compensation, and equity-based pay. We address endogeneity issues, CEO compensation persistence, and unobserved heterogeneity using a multi-level fixed effects estimator, dynamic panel models, system GMM, cross-lagged structural panel models, and instrumental variables models. Our findings indicate that female directorship is positively associated with CEO pay-performance sensitivity and equity-based compensation but negatively associated with total CEO compensation. This suggests that female directors emphasize performance-based incentives over fixed pay, reinforcing a stronger alignment between CEO pay and shareholder value. Further, CEO power and managerial ability significantly moderate this relationship. When the CEO is the board chairman, female directorship is positively associated with total and equity compensation. Similarly, higher managerial ability strengthens the relation between female directorship and equity-based pay while weakening its negative association with total compensation. Our findings contribute to corporate governance, agency theory, and resource dependence theory by demonstrating that board gender diversity enhances monitoring effectiveness and alters executive compensation structures to improve firm accountability and performance alignment. These insights are important for board composition policies, gender diversity mandates, and executive pay design.

本研究考察了女性董事和CEO薪酬之间的关系，重点关注薪酬绩效敏感性、总薪酬和基于股权的薪酬。我们使用多层固定效应估计器、动态面板模型、系统GMM、交叉滞后结构面板模型和工具变量模型来解决内生性问题、CEO薪酬持久性和未观察到的异质性。研究结果表明，女性董事与CEO薪酬绩效敏感性和股权薪酬呈正相关，但与CEO总薪酬呈负相关。这表明，女性董事强调基于绩效的激励，而不是固定薪酬，从而强化了CEO薪酬与股东价值之间的更强一致性。此外，CEO权力和管理能力显著调节了这一关系。当CEO担任董事会主席时，女性董事比例与总薪酬和股权薪酬呈正相关。同样，较高的管理能力加强了女性董事与股权薪酬之间的关系，削弱了其与总薪酬之间的负相关关系。我们的研究结果有助于公司治理、代理理论和资源依赖理论，证明董事会性别多样性提高了监督有效性，改变了高管薪酬结构，从而改善了公司问责制和绩效一致性。这些洞见对于董事会构成政策、性别多元化要求和高管薪酬设计都很重要。

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引用次数: 0

Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies? 美国现货比特币etf的推出是否会影响主要加密货币的现货回报和波动性？

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 Epub Date: 2025-04-15 DOI: 10.1016/j.qref.2025.102006

Babalos Vassilios , Elie Bouri , Rangan Gupta

This paper provides the first empirical evidence of whether the introduction of US spot Bitcoin ETFs affected the returns and volatility of major cryptocurrencies. Using data from December 18, 2017 to March 15, 2024, we apply an event-study methodology within a GARCH-based framework. Our results reveal a significant effect of the introduction of spot Bitcoin ETFs on cryptocurrency returns and volatility. The analysis shows a positive impact for Bitcoin, Ethereum, and Litecoin spot price returns around the event date. The volatility of Bitcoin and Ripple spot markets decreased following the introduction of spot Bitcoin ETFs, which supports the stabilization hypothesis for these two cases. We also examine the volatility spillovers using a wavelet coherence approach, and reveal significant volatility spillovers from Grayscale Bitcoin ETF to Bitcoin futures and to a lesser extend to the Bitcoin spot market. Our findings enhance the limited understanding of the price discovery and functioning of the cryptocurrency markets, which could be useful for investors, regulators, and policymakers.

本文提供了第一个经验证据，证明美国现货比特币etf的引入是否影响了主要加密货币的回报和波动性。使用2017年12月18日至2024年3月15日的数据，我们在基于garch的框架内应用了事件研究方法。我们的研究结果揭示了现货比特币etf对加密货币回报和波动性的显著影响。分析显示，在活动日期前后，比特币、以太坊和莱特币的现货价格回报将受到积极影响。引入比特币现货etf后，比特币和瑞波币现货市场的波动性下降，这支持了这两种情况的稳定假设。我们还使用小波相干性方法研究了波动性溢出效应，并揭示了从灰度比特币ETF到比特币期货的显著波动性溢出效应，并在较小程度上扩展到比特币现货市场。我们的研究结果增强了对加密货币市场价格发现和功能的有限理解，这可能对投资者、监管机构和政策制定者有用。

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引用次数: 0

Investigation of the intentional and spurious herding effects in the cryptocurrency market with global events 利用全球事件调查加密货币市场的有意和虚假羊群效应

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 Epub Date: 2025-03-31 DOI: 10.1016/j.qref.2025.101992

Natalia Alves Tavares , Paulo Vitor Jordão da Gama Silva , Marcelo Cabus Klotzle

The study aims to investigate the intentional and spurious herd effects in the cryptocurrency market, considering the most popular events globally, according to Google Trends, from 2018 to 2022. Although the study of herd behavior is explored in the cryptocurrency market, there has not yet been a distinction between these factors' typology and real-world events. We use 100 cryptocurrencies to analyze the Absolute Transversal Deviation (CSAD). As an innovative way, we estimated the regressions considering both Premium CSAD and CRIX CSAD for the herd periods and with events using the Zivot-Andrew test. We observe the occurrence of herd behavior, spurious (rational) and intentional (irrational), in the period of total analysis and the events, with a higher prevalence of the intentional effect. We noted that the CSAD Spurious Premium model was more significant for events before and after the structural break than the CSAD models using the CRIX index.

本研究旨在研究加密货币市场中有意的和虚假的羊群效应，考虑到根据谷歌趋势，从 2018 年到 2022 年全球最流行的事件。虽然在加密货币市场中探索了羊群行为的研究，但尚未区分这些因素的类型和现实世界中的事件。我们使用 100 种加密货币来分析绝对横向偏差（CSAD）。作为一种创新方法，我们使用 Zivot-Andrew 检验对羊群行为时期的 Premium CSAD 和 CRIX CSAD 以及事件进行了回归估计。我们观察到，在总体分析期间和事件中，出现了虚假（理性）和故意（非理性）的牛群行为，其中故意效应更为普遍。我们注意到，与使用 CRIX 指数的 CSAD 模型相比，CSAD 虚假溢价模型在结构断裂前后的事件中更为显著。

引用次数: 0

How do non-normal parametric VaR models perform in risk-minimizing portfolios? 非正态参数VaR模型在风险最小化投资组合中的表现如何？

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 Epub Date: 2025-05-20 DOI: 10.1016/j.qref.2025.102016

Dejan Živkov , Sanja Lončar , Jasmina Đurašković , Suzana Balaban

This study minimizes the extreme risk of the NASDAQ index by optimizing two six-asset portfolios with developed and emerging Asian stock indices in the pre-crisis and crisis periods. The existing papers in this area usually use the normal VaR model to estimate extreme risk. In the parametric VaR estimation, we try to improve the analysis by using three non-normal distribution functions – logistic, hyper-secant and Laplace, while the normal VaR is a benchmark. CVaR is also used to evaluate its performance relative to heavier-tailed non-normal VaR models. Different VaR models do not affect the multivariate portfolio structure, but the downside risk measures differ. Applying the Kupiec test and visual inspection of probability density functions, it is determined that two fatter tail functions – logistic and hyper-secant, best fit the realized returns in both portfolios and subsamples. From the aspect of hedge effectiveness, the portfolio with emerging Asian indices better mitigates extreme risk because emerging markets are less integrated. In the optimal portfolios, in most cases, NASDAQ is the only asset in the portfolio due to the highest Sharpe ratio in both pre-crisis and crisis periods. The paper points out the need to find the best VaR model because the effectiveness of hedging and the reliability of results depend on it.

本研究在危机前和危机期间，通过优化亚洲发达和新兴股票指数的两种六资产组合，将纳斯达克指数的极端风险降至最低。该领域已有的论文通常使用正态VaR模型来估计极端风险。在参数VaR估计中，我们尝试使用logistic、超割线和拉普拉斯三种非正态分布函数来改进分析，而正态VaR是一个基准。CVaR也被用来评价其相对于重尾非正态VaR模型的性能。不同的VaR模型对多元投资组合结构没有影响，但下行风险度量不同。应用Kupiec检验和概率密度函数的目视检验，确定两个肥尾函数logistic和超割线最适合组合和子样本的实现收益。从对冲效果来看，由于新兴市场一体化程度较低，亚洲新兴市场指数的投资组合更能缓解极端风险。在最优投资组合中，在大多数情况下，纳斯达克是投资组合中唯一的资产，因为在危机前和危机时期，夏普比率都是最高的。本文指出，套期保值的有效性和结果的可靠性取决于最佳VaR模型。

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引用次数: 0

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