Journal of International Financial Markets Institutions & Money最新文献

We test the impact of GHG emissions on equity markets’ volatility. Our results confirm that CO₂ and other greenhouse gases emissions such as agricultural nitrous oxide, and methane emissions are associated with increased stock market volatility. This relationship holds across different measures of volatility, emissions, and specifications using nearly 30 years’ worth of index-level data from stock exchanges across 50 countries. These findings lend support to the notion that carbon risk is priced into financial markets, and that green finance could promote more stable global equity markets in the future and thereby foster a more sustainable economic system.

We propose a novel portfolio model integrating the Fama–French three-factor model into the Black–Litterman framework, enabling efficient investment strategies. The model surpasses traditional benchmarks, significantly increasing alpha, minimizing estimation error, and improving diversification. Performance improvements are shown by a tripled Sharpe ratio and doubled Certainty Equivalent Return compared to standard models. It maintains stability across different parameters and economic climates, leveraging improved weight adjustment to reduce estimation errors and withstand market volatility. It provides a new perspective for portfolio construction, leveraging long-term insights from asset pricing theory with significant implications.

This study re-examines the relationship between commercial bank ownership and lending growth from 1996–2019. The results show that before the 2008 financial crisis, both categories of foreign banks expanded lending, predominantly in developing countries. A shift occurred in the lending behavior of foreign banks post-2008. Bank-specific characteristics became more influential in determining credit growth. During host country banking crises, foreign state-controlled banks demonstrated higher loan growth rates than private-owned banks and reduced credit growth abroad during banking crises in home countries. Lastly, during the 2008 crisis, domestic state-controlled banks stabilized lending activity, while both types of foreign banks reduced lending.

This study explores the quantile connectedness between United States (U.S.) economic policy uncertainty (EPU), global structural oil shocks, and U.S. inflation expectations uncertainty (IEU) under extreme shocks using a connectedness method based on the quantile VAR model. We find that the total connectedness index (TCI) exhibits a U-shaped pattern that varies with the conditional quantiles of variables, demonstrating that the spillover effect under extreme market conditions is much greater than under regular market conditions. Further proven that the spillover effect in the extreme upward state is stronger than in the extreme downward state. Moreover, the dynamic TCI is heterogeneous over time and economic-event dependent, specifically affected by COVID-19 epidemic. IEU is the largest net receiver of spillover effects among variables and hence is more susceptible to EPUs and oil shocks. Finally, although there is significant heterogeneity in the spillover effects of different EPUs and structural oil price shocks, overall, EPUs influence the IEU more than global oil shocks.

This paper examines the governance effect of minority shareholder social media engagement on merger and acquisition (M&A) outcomes. First, using a sample of Chinese M&A and social media discussion data from the EastMoney stock message board, we find that minority shareholder social media engagement is positively associated with the acquiring firm’s value after an M&A transaction. This result holds after a series of robustness tests. Second, mediation analyses reveal that social media engagement enhances postmerger firm value by curbing the entrenchment incentives for insiders to set high premiums and use private placement financing in M&As and by reducing management’s agency motive in the integration stage. Third, we find that minority shareholder social media engagement on M&A-specific topics, compared with overall engagement, has a stronger governance effect that further improves M&A outcomes. Finally, minority shareholder social media engagement further reduces the probability of M&A failure and shortens the time to completion. These results provide evidence of the governance role of minority shareholder activism on social media in China, which could help to address the value-destroying and encroachment problems associated with agency-motivated M&As.

Considering various critical periods including the COVID-19 pandemic and the ongoing Russian–Ukraine war, this paper investigates the dynamics of extreme spillover effects from the crude oil market to the financial markets of major oil-exporting countries. With the increased integration of global financial systems, oil market fluctuations can have far-reaching implications for economies that are heavily reliant on oil exports. We employ a wavelet approach to explore the co-movement and lead–lag relationships between the oil market and the financial markets of the considered countries. Next, we follow the newly introduced frequency-based connectedness approach of Hanif et al. (2023) to explore the dynamic connectedness and risk transmission among these markets. First, results from the wavelet coherency technique show that the degree of co-movement during the Russia–Ukraine war was significantly lower than it was under both the pre-crises and COVID-19 pandemic periods as shown by fewer regions with warmer colors (red), which show significant dependence at the 5% level, especially for Canada. Secondly, the dynamic connectedness of these markets was largely driven by long-term dynamics during the Russia–Ukraine crisis period, unlike the short-term driven connectedness observed during the COVID-19 pandemic. The average degree of connectedness at high frequencies (short-term) forms a smaller proportion of the average level of connectedness at low frequencies (long-term), indicating a stronger long-term influence of the crisis on the interconnectedness of these markets. Additionally, we find that Canada and the United States were the major net transmitters of shocks to the network during the conflict period, while Iraq exhibited the strongest level of idiosyncratic shocks. Interestingly, the crude oil market was observed to send stronger shocks to the network at the onset of the war, with the impact gradually diminishing as the conflict progressed. Our study provides valuable insights for policymakers and investors as a guide towards more informed decision-making and appropriate risk management strategies in the face of oil price volatility in these regions.

We examine whether firm-level political risk influences the issuance of equity (debt) to finance corporate investment. With a sample of 64,693 firm-quarter observations from 2002 to 2020, we find that firm-level political risk is significantly and positively associated with subsequent equity issuance as opposed to debt issuance. To mitigate endogeneity, we estimate firm fixed-effects regression, perform nearest-neighbor score matching technique and Heckman’s (1979) two-step correction procedure, and employ gubernatorial elections in different states of the U.S. as a shock to the firm-level political risk. We also test for two potential economic mechanisms, financial flexibility and information asymmetry, and find that our baseline results are more pronounced for these channels. Our study presents new evidence on firms’ financing choices in the presence of firm-level political risk.

Our paper examines the impact of the improved financial-judicial specialization on Chinese capital market considering the establishment of China’s first financial court, that is, the Shanghai Financial Court, as an exogenous shock. Using a difference-in-differences (DID) estimation, we find that greater financial-judicial specialization is associated with lower risk of stock price crash. Our results also show that this effect is more pronounced for firms with poor internal control, opaque information environment, and weak internal supervision. The mechanism analysis also shows that the improvement of financial-judicial specialization will also lead to act less opportunistically and disclose more bad news. Overall, the results shed light on the important role of financial-judicial specialization in the Chinese capital market.

We conduct a cross-country analysis to examine the impact of national culture on the vulnerability of European banks during the Covid-19 pandemic. Analyzing the stock market volatility of major banks, we explore differences in uncertainty avoidance and individualism levels across multiple European countries. Our results reveal that low uncertainty avoidance reduces the influence of Covid-19-related cases on bank volatility during the peak of the crisis. Even as the pandemic progresses and vaccinations become widespread, the effect of uncertainty avoidance remains significant. We also find that high individualism has a stabilizing effect on bank volatility, particularly after the start of vaccinations. This study contributes to understanding the role of national culture in shaping bank vulnerability to common stocks, such as the pandemic.

This paper investigates the interplay between two types of banking risk: market and credit. By verifying the volatility feedback loop hypothesis, we employ a multilayer information spillover network to explore information flow (risk spillover) between market and credit risks of European Global Systemically Important banks (G-SIBs). We analyse their role in transmitting market and credit risk, showing that capturing spillovers of both risks provides a more comprehensive perspective on financial risk contagion. Our findings have important implications for policymakers and risk managers, aiding in better risk assessment and timely crisis response, improving financial stability.