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Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks 预测美国股市系统性压力的条件分布:气候风险的作用
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-06-01 Epub Date: 2025-03-21 DOI: 10.1016/j.intfin.2025.102156
Massimiliano Caporin , Petre Caraiani , Oguzhan Cepni , Rangan Gupta
This paper explores how climate risks impact the overall systemic stress levels in the United States (US). We initially apply the TrAffic Light System for Systemic Stress (TALIS3) approach that classifies the stock markets across all 50 states based on their stress levels, to create an aggregate stress measure called ATALIS3. Then, we utilize a nonparametric causality-in-quantiles approach to thoroughly assess the predictive power of climate risks across the entire conditional distribution of ATALIS3, accounting for any data nonlinearity and structural changes. Our analysis covers daily data from July 1996 to March 2023, reveals that various climate risk indicators can predict the entire conditional distribution of ATALIS3, particularly around its median. The full-sample result also carries over time, when the nonparametric causality-in-quantiles test is conducted based on a rolling-window. Our findings showing that climate risks are positively associated with ATALIS3 over its entire conditional distribution, provide crucial insights for investors and policymakers regarding the economic impact of environmental changes, especially since we confirm that the results continue to be robust in an international-setting involving 11 important stock markets of the European Union.
本文探讨了气候风险如何影响美国(US)的整体系统压力水平。我们最初应用系统压力交通灯系统(TALIS3)方法,根据压力水平对所有50个州的股票市场进行分类,以创建一个称为ATALIS3的总压力测量。然后,我们利用一种非参数的分位数因果关系方法来全面评估气候风险在整个ATALIS3条件分布中的预测能力,考虑到任何数据非线性和结构变化。我们的分析涵盖了1996年7月至2023年3月的每日数据,表明各种气候风险指标可以预测ATALIS3的整个条件分布,特别是在其中位数附近。当基于滚动窗口进行非参数分位数因果关系检验时,全样本结果也会随着时间的推移而持续。我们的研究结果表明,气候风险与ATALIS3的整个条件分布呈正相关,这为投资者和政策制定者提供了关于环境变化的经济影响的重要见解,特别是因为我们确认了在涉及欧盟11个重要股票市场的国际环境中,结果仍然是稳健的。
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引用次数: 0
Diversification and firm risk: New evidence on exchange rate exposure 多元化与企业风险:汇率风险敞口的新证据
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-06-01 Epub Date: 2025-04-04 DOI: 10.1016/j.intfin.2025.102158
Taek Ho Kwon , Sung C. Bae , Chenyang Liu
This study examines the effect of industrial diversification on exchange rate exposure based on the resource-based and portfolio views of corporate diversification. Sampling Korean firms, we report new evidence that once the effect of geographic diversification is controlled and the self-selection bias is corrected, industrial diversification provides a strong positive effect in reducing exchange rate exposure. The mitigating effect of industrial diversification on FX exposure is more pronounced for geographically diversified firms which are in nature highly exposed to FX risk. Our results indicate that industrial diversification helps firms with international operations reduce their exchange rate exposure, supporting the complementary role of industrial diversification in managing FX risk associated with geographic diversification. Our study offers further discussions on potential mechanisms through which industrial and geographic diversification interacts in FX risk reduction.
本研究基于企业多元化的资源基础和投资组合观点,探讨了产业多元化对汇率风险敞口的影响。以韩国企业为样本,我们报告了新的证据,表明一旦地域多元化的影响得到控制,自我选择偏差得到纠正,产业多元化在减少汇率风险方面提供了强有力的积极作用。行业多元化对外汇敞口的缓解作用对于地理上多元化的公司来说更为明显,这些公司本质上是高度暴露于外汇风险的。我们的研究结果表明,产业多元化有助于具有国际业务的公司减少其汇率风险,支持产业多元化在管理与地域多元化相关的外汇风险方面的互补作用。我们的研究进一步讨论了工业和地域多样化在外汇风险降低中的相互作用的潜在机制。
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引用次数: 0
Sovereign credit rating provision and financial development 主权信用评级提供与金融发展
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-06-01 Epub Date: 2025-03-18 DOI: 10.1016/j.intfin.2025.102153
Oskar Kowalewski , Prabesh Luitel , Rosanne Vanpée
This paper examines the impact of obtaining a sovereign credit rating for the first time on financial development in 50 emerging countries. Controlling for endogeneity and selection bias, we show that receiving an initial sovereign credit rating significantly transforms domestic financial systems. Rated countries experience a reallocation of bank assets, reduced reliance on domestic bank financing, and increased access to international bond markets, enabling expanded private-sector credit. Sovereign ratings also stimulate local currency bond market development and enhance foreign currency bond issuance. Additionally, they attract portfolio equity inflows and foster the internationalization of domestic banks, though their effects on direct debt flows and FDI are less pronounced. Overall, our findings highlight the critical role of sovereign credit ratings in advancing financial development and integration in emerging markets.
本文考察了首次获得主权信用评级对50个新兴国家金融发展的影响。控制内生性和选择偏差,我们表明接受初始主权信用评级显著改变国内金融体系。获得评级的国家经历了银行资产的重新配置,减少了对国内银行融资的依赖,增加了进入国际债券市场的机会,从而扩大了私营部门信贷。主权评级也刺激了本币债券市场的发展,增加了外币债券的发行。此外,它们吸引投资组合股本流入和促进国内银行的国际化,尽管它们对直接债务流动和外国直接投资的影响不太明显。总体而言,我们的研究结果强调了主权信用评级在促进新兴市场金融发展和一体化方面的关键作用。
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引用次数: 0
Financial connectivity in cross-border lending and crises: Role of financial and legislative integration 跨境贷款和危机中的金融连通性:金融和立法一体化的作用
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-06-01 Epub Date: 2025-03-29 DOI: 10.1016/j.intfin.2025.102137
Müge Demir , Zeynep Önder
This study investigates whether financial and legislative integration affects the relationship between financial stability and connectivity in the bank-to-bank and bank-to-non-bank cross-border lending markets of 25 European countries by using network analysis and the locational banking statistics of the Bank for International Settlements. We test whether connecting through a single market or a single currency affects the interplay between financial stability and connectivity across the members of the European Union. The results suggest that as the level of financial connectivity increases, using the single currency, the euro, helps to improve the resilience of the European Union in response to the crisis in both bank-to-bank and bank-to-non-bank lending markets but legislative-regulatory integration does not have any significant effect. The positive effect of the euro on financial stability is observed not only for systemic crises but also for residual events.
本研究通过网络分析和国际清算银行的地区银行统计数据,考察了金融和立法一体化是否影响了25个欧洲国家银行对银行和银行对非银行跨境贷款市场中金融稳定性与连通性之间的关系。我们测试了通过单一市场或单一货币进行联系是否会影响欧盟成员国金融稳定与联系之间的相互作用。结果表明,随着金融连通性水平的提高,使用单一货币欧元有助于提高欧盟应对银行对银行和银行对非银行贷款市场危机的弹性,但立法-监管一体化没有任何显著影响。欧元对金融稳定的积极影响不仅体现在系统性危机上,也体现在剩余事件上。
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引用次数: 0
Global perspectives on open banking: Regulatory impacts and market response 开放银行的全球视角:监管影响和市场反应
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-06-01 Epub Date: 2025-04-15 DOI: 10.1016/j.intfin.2025.102159
Erdinc Akyildirim , Shaen Corbet , Abhishek Mukherjee , Michael Ryan
This study investigates the adoption of open banking across several diverse global jurisdictions, focusing specifically on regulatory and market implications. Employing a comparative analysis, we examine the dual nature of open banking as both a regulatory framework and a technological innovation, exploring how different regulatory approaches shape its implementation and market reception. Results indicate significant variation in market responses to open banking announcements, presenting evidence of the underlying factors driving these disparities, such as the role of regulatory environments, technological infrastructures, and bank size in shaping market reactions.
本研究调查了全球多个不同司法管辖区对开放银行业务的采用情况,特别关注其对监管和市场的影响。通过比较分析,我们研究了开放银行作为监管框架和技术创新的双重性质,探讨了不同的监管方法如何影响其实施和市场接受程度。结果表明,市场对开放银行业务公告的反应存在显著差异,并提供了推动这些差异的潜在因素的证据,如监管环境、技术基础设施和银行规模在影响市场反应方面的作用。
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引用次数: 0
Securing passive liquidity: The impact of Europe’s first asymmetric speed bump on market liquidity 确保被动流动性:欧洲首次非对称减速带对市场流动性的影响
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-06-01 Epub Date: 2025-03-19 DOI: 10.1016/j.intfin.2025.102145
Caroline Le Moign
This study evaluates the impact of Europe’s first asymmetric speed bump, an order delay introduced by Eurex in 2019 for French equity options, as an innovative response to high-frequency trading externalities. Using a matched transaction-level database and a difference-in-difference strategy, we analyze liquidity changes on Eurex and its competitor Euronext. Results show significant improvements in Eurex liquidity, with decreased spreads and increased market depth. Notably, positive spillover effects were observed on Euronext for cross-listed options, with decreased spreads and an increase in aggressive HFT presence. These findings support the effectiveness of asymmetric speed bumps in mitigating latency arbitrage and enhancing market liquidity across competing platforms.
本研究评估了欧洲首个不对称减速带的影响,即欧洲期货交易所(Eurex)于2019年针对法国股票期权推出的订单延迟,作为对高频交易外部性的创新回应。使用匹配的交易级数据库和差中差策略,我们分析了欧洲期货交易所及其竞争对手泛欧交易所的流动性变化。结果显示,欧洲期货交易所的流动性显著改善,价差下降,市场深度增加。值得注意的是,泛欧交易所的交叉上市期权出现了积极的溢出效应,价差下降,激进的高频交易出现增加。这些发现支持了非对称减速带在减轻延迟套利和增强竞争平台之间的市场流动性方面的有效性。
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引用次数: 0
Cash or Cache? Distributional and business cycle implications of CBDC holding limits 现金还是缓存?CBDC持有限制的分布和商业周期影响
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-06-01 Epub Date: 2025-04-12 DOI: 10.1016/j.intfin.2025.102161
Jana Anjali Magin, Ulrike Neyer, Daniel Stempel
Many central banks are discussing the introduction of a Central Bank Digital Currency (CBDC). Empirical evidence suggests that households differ in their demand for a CBDC. This paper investigates the macroeconomic and distributional effects of different CBDC regimes within a New Keynesian model with a heterogeneous household sector. Households prefer to hold part of their income in CBDC as a means of payment as it facilitates transactions. If they cannot hold their preferred share of CBDC, they will face transaction costs. We find that the introduction of a binding limit on CBDC holdings can increase the shock absorption capabilities of an economy. If the limit is used as a monetary policy instrument, prices will be stabilized more effectively after shocks. However, a CBDC implies distributional effects across households.
许多中央银行正在讨论引入中央银行数字货币(CBDC)。经验证据表明,家庭对CBDC的需求存在差异。本文在一个具有异质家庭部门的新凯恩斯模型中研究了不同CBDC制度的宏观经济和分配效应。家庭更愿意将部分收入存入CBDC,作为一种支付手段,因为它有助于交易。如果他们不能持有CBDC的优先股,他们将面临交易成本。我们发现,引入对CBDC持有的约束性限制可以提高经济体的减震能力。如果把限价作为一种货币政策工具,将更有效地稳定震荡后的物价。然而,CBDC意味着家庭之间的分配效应。
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引用次数: 0
News and intraday retail investor order flow in foreign exchange markets 外汇市场的新闻和日内散户投资者订单流
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-06-01 Epub Date: 2025-03-19 DOI: 10.1016/j.intfin.2025.102146
Theofilia Kaourma , Andreas Milidonis , George Nishiotis , Marios Panayides
This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and short positions in EUR/USD. Standard event study analysis shows no significant adjustment in trading ahead of scheduled macro news announcements and trading contrary to the announcement surprise after the event. A panel regression analysis shows that such contrarian trading behavior is mainly driven by lagged returns rather than fundamental macro news. Further, intraday time series analysis shows that the lagged overall news sentiment also significantly affects retail investor trading. Finally, to verify the uninformed nature of retail trading, we show that simple cross-over trading strategies that exploit retail investors’ order flow could be profitable. Overall, our results suggest that retail investors in currency markets are influenced by news sentiment and past returns, but do not appear able to extract fundamental information from public news. Our findings support the differential abilities of market participants to interpret public information as reflected through the intraday trading activity of retail currency traders.
本文使用大量散户投资者(按分钟计算)欧元/美元多头和空头头寸的专有日内数据集来检验个人投资者的交易行为。标准事件研究分析显示,在宏观新闻公告发布之前,交易没有明显调整,而在事件发布后,交易与公告相反。面板回归分析显示,这种反向交易行为主要是由滞后收益驱动的,而非基本面宏观消息。此外,盘中时间序列分析显示,滞后的整体新闻情绪也显著影响散户投资者的交易。最后,为了验证散户交易的不知情性质,我们表明,利用散户投资者的订单流的简单交叉交易策略可以盈利。总体而言,我们的研究结果表明,外汇市场的散户投资者受到新闻情绪和过去回报的影响,但似乎无法从公开新闻中提取基本信息。我们的研究结果支持市场参与者解释公共信息的不同能力,这反映在零售货币交易者的日内交易活动中。
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引用次数: 0
Beyond education: International student inflow and outbound cross-border mergers and acquisitions 超越教育:国际学生流入和对外跨境并购
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-06-01 Epub Date: 2025-03-08 DOI: 10.1016/j.intfin.2025.102143
Hao Wang , Shuting Tan , Yonghui Han
This paper investigates the impact of international education exchange on cross-border mergers and acquisitions (CBMA). Using a comprehensive panel dataset covering 141 countries from 2006 to 2018, we find that international students studying in China have a positive impact on China’s outbound CBMA. Such an effect operates through diplomatic relations, economic cooperation and cultural convergence as the underlying mechanisms. The effect of international education exchange is more pronounced for degree-seeking students than for non-degree-seeking students. Moreover, non-degree-seeking scholarship recipients exert a stronger influence on CBMA than degree-seeking scholarship recipients.
本文研究了国际教育交流对跨国并购(CBMA)的影响。利用 2006 年至 2018 年覆盖 141 个国家的综合面板数据集,我们发现在中国学习的留学生对中国对外并购产生了积极影响。这种影响通过外交关系、经济合作和文化趋同作为内在机制发挥作用。与非学位留学生相比,国际教育交流对学位留学生的影响更为明显。此外,与攻读学位的奖学金获得者相比,非攻读学位的奖学金获得者对 CBMA 的影响更大。
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引用次数: 0
ESG ratings: Disagreement across providers and effects on stock returns ESG评级:供应商之间的分歧及其对股票回报的影响
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-04-01 Epub Date: 2025-03-03 DOI: 10.1016/j.intfin.2025.102133
Giulio Anselmi, Giovanni Petrella
This paper examines the ESG ratings assigned by two providers, LSEG and Bloomberg, to companies listed in Europe and the United States from 2010 to 2020. The objective is to document the path of the ESG ratings over time, the divergence of opinions across providers, and whether the ESG dimension affects stock returns. The ESG scores have increased significantly over time, both in Europe and the United States, and higher scores are common for larger firms with low credit risk and lower equity returns. Once risk factors have been considered, the ESG dimension does not affect stock returns. The divergence of opinions across rating providers is vast and mainly increasing, especially in the US and for the social component. A wide divergence of opinions on the ESG score does not favour the correct pricing of the ESG risks and weakens the link between investors’ ESG preferences and the performance of stocks with better ESG metrics. However, disagreement across providers should not be considered only negatively as it can enrich the information set and avoid rating over-reliance (which proved to be a vital issue in the 2007–2009 financial crisis).
本文考察了2010年至2020年LSEG和彭博社两家评级机构对欧美上市公司的ESG评级。我们的目标是记录ESG评级随时间的变化轨迹、评级机构之间的意见分歧,以及ESG维度是否会影响股票回报。随着时间的推移,欧洲和美国的ESG得分都有了显著的提高,对于信贷风险较低、股权回报较低的大公司来说,得分较高是很常见的。一旦考虑了风险因素,ESG维度并不影响股票收益。评级机构之间的意见分歧很大,而且还在不断扩大,尤其是在美国和社交部分。对ESG评分的广泛分歧不利于正确定价ESG风险,并削弱了投资者的ESG偏好与ESG指标较好的股票表现之间的联系。然而,供应商之间的分歧不应该被认为是消极的,因为它可以丰富信息集,避免评级过度依赖(这在2007-2009年金融危机中被证明是一个至关重要的问题)。
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引用次数: 0
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Journal of International Financial Markets Institutions & Money
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