International Review of Financial Analysis最新文献

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Geopolitical risk and systemic tail risk spillovers: Evidence from Chinese financial markets 地缘政治风险与系统性尾部风险溢出：来自中国金融市场的证据

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2025-11-29 DOI: 10.1016/j.irfa.2025.104834

Juandan Zhong , Haibo Li , Bo Wang

This paper examines five representative financial sub-markets in China, namely the real estate, stock, bond, commodity, and currency markets, and systematically analyzes their interconnected structure and tail risk contagion mechanisms. The study first quantifies the magnitude and dynamics of tail risk within each sub-market by applying the CAViaR model, which identifies spikes in estimated risk during major crisis events. Then, a time-varying parameter vector autoregression with the Diebold-Yilmaz approach (TVP-VAR-DY) is employed to characterize both the static and dynamic features of tail risk spillovers across these markets, enabling the identification of key sources and revealing distinct patterns during crisis periods. Furthermore, global and Chinese geopolitical risk indices are incorporated into a GJR-GARCH-MIDAS framework to assess their individual contributions to cross-market tail risk spillovers and their roles in systemic risk transmission. The findings indicate that domestic geopolitical risk has a more significant impact on tail risk spillovers among China's financial sub-markets, especially through the exchange rate market. This study enriches the understanding of the interplay between tail risk and geopolitical risk and provides valuable insights for improving risk identification and mitigation in China's financial system under external stress.

本文以中国具有代表性的房地产、股票、债券、商品和货币五个金融子市场为研究对象，系统分析了它们的相互关联结构和尾部风险传染机制。该研究首先通过应用CAViaR模型量化了每个子市场中尾部风险的大小和动态，该模型识别了重大危机事件期间估计风险的峰值。然后，采用Diebold-Yilmaz方法（TVP-VAR-DY）的时变参数向量自回归来表征这些市场尾部风险溢出的静态和动态特征，从而识别关键来源并揭示危机期间的不同模式。此外，将全球和中国地缘政治风险指数纳入gj - garch - midas框架，评估它们对跨市场尾部风险溢出的贡献及其在系统性风险传导中的作用。研究结果表明，国内地缘政治风险对中国金融子市场尾部风险溢出的影响更为显著，尤其是通过汇率市场的影响。本研究丰富了对尾部风险与地缘政治风险相互作用的理解，为提高外部压力下中国金融体系的风险识别和风险缓解提供了有价值的见解。

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引用次数: 0

Development of cross-border E-commerce, digital finance development, and the digital transformation of manufacturing enterprises 跨境电子商务发展、数字金融发展、制造业企业数字化转型

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2025-11-29 DOI: 10.1016/j.irfa.2025.104835

Zhan Cao , Yi Liu

Based on panel data from non-financial manufacturing firms listed on China's A-share market from 2011 to 2023, this paper systematically examines the intrinsic relationships and mechanisms of action among cross-border e-commerce development (CBEC), digital finance development (DFD), and digital transformation of manufacturing enterprises. The empirical results indicate that: (1) CBEC significantly promotes the digital transformation of manufacturing enterprises; (2) the promotion effect of CBEC on digital transformation is more pronounced in firms with higher levels of marketization, intense industry competition, and greater R&D investment, demonstrating clear heterogeneity; (3) CBEC indirectly enhances the digital transformation of enterprises by fostering DFD; and (4) the mediating role of DFD varies across regions with different levels of digital infrastructure. These findings provide empirical evidence and policy references for promoting high-quality development of the manufacturing industry, accelerating digital transformation, and fostering the coordinated CBEC and digital finance.

本文基于2011 - 2023年a股上市非金融制造业企业的面板数据，系统考察了跨境电子商务发展（CBEC）、数字金融发展（DFD）与制造业企业数字化转型之间的内在关系和作用机制。实证结果表明：(1)CBEC对制造企业数字化转型有显著促进作用；(2)在市场化程度高、行业竞争激烈、研发投入大的企业中，CBEC对数字化转型的促进作用更为显著，呈现出明显的异质性；(3) CBEC通过培育DFD间接促进企业数字化转型；(4)区域数字化基础设施水平不同，DFD的中介作用也不同。研究结果为促进制造业高质量发展、加快数字化转型、促进CBEC与数字金融协同发展提供了实证依据和政策参考。

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引用次数: 0

The capital allocation effect of green finance: Evidence from corporate technological investment 绿色金融的资本配置效应：来自企业技术投资的证据

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2025-11-29 DOI: 10.1016/j.irfa.2025.104836

Caifeng Zou , Chuan Zhang

Against the backdrop of China's “dual‑carbon” goals and accelerating green transition, how green finance shapes firms' technological investment has become an important research question. Using panel data for Chinese A-share non-financial listed firms from 2003 to 2023, this study examines whether the development of green finance promotes technological investment through capital allocation. Technological investment is assessed from the perspectives of research and development (R&D) personnel, R&D intensity, and innovation output, and a mechanism framework is constructed to explore the roles of external monitoring and information disclosure. The empirical results show that green finance significantly increases firms' R&D staffing, enhances R&D expenditure, and improves patent output. Mechanism analyses indicate that green finance strengthens analyst coverage and enhances information disclosure quality, thereby improving the information environment and governance pressure, ultimately stimulating greater technological investment. Further heterogeneity tests reveal that the promoting effect is more pronounced in pollution-intensive industries and exhibits a clear “bottom-lifting effect” for firms with weak innovation foundations. Multiple robustness checks corroborate these findings. Overall, the study uncovers the internal mechanisms and distributional effects through which green finance drives corporate technological innovation. The results suggest that a well-functioning green finance system not only improves resource allocation efficiency and alleviates financing constraints but also plays a crucial role in supporting green transformation, enhancing innovation capacity, and fostering high-quality economic development.

在中国实施“双碳”目标和加速绿色转型的背景下，绿色金融如何影响企业的技术投资成为一个重要的研究问题。本文利用2003 - 2023年中国a股非金融类上市公司的面板数据，考察绿色金融的发展是否通过资本配置促进技术投资。从研发人员、研发强度和创新产出三个角度对技术投入进行评价，构建机制框架，探索外部监督和信息披露的作用。实证结果表明，绿色金融显著增加了企业的研发人员，增加了研发支出，提高了专利产出。机制分析表明，绿色金融增强了分析师覆盖率，提高了信息披露质量，从而改善了信息环境和治理压力，最终刺激了更大的技术投资。进一步的异质性检验表明，促进效应在污染密集型产业中更为明显，对创新基础薄弱的企业表现出明显的“提底效应”。多个稳健性检查证实了这些发现。总体而言，研究揭示了绿色金融驱动企业技术创新的内在机制和分配效应。研究结果表明，健全的绿色金融体系不仅可以提高资源配置效率，缓解融资约束，而且对支持绿色转型、提升创新能力、促进经济高质量发展具有重要作用。

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引用次数: 0

Natural disasters and stock return co-movement: Fundamental change vs. attention distraction 自然灾害与股票收益联动：根本性变化vs.注意力分散

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2025-11-29 DOI: 10.1016/j.irfa.2025.104828

Xiao Li, Wanyu Qian

Firm fundamentals and investor behavior have been shown as important factors affecting individual stock return co-movements with the market. To identify whether fundamentals or investors play a major role in deciding stock return co-movements, we utilize natural disasters as attention distraction events that may result in uneven attention distribution. As a result, we prove that such stock co-movements in the Chinese stock market are mainly driven by firm fundamentals during natural disaster periods. Specifically, firms more sensitive to the local economy and facing inferior information environments display a greater increase in stock return co-movement during disasters, indicating no evidence for investor attention distraction. Moreover, such an increase disappears within one month following the disasters. We further find that intra-provincial and inter-provincial co-movements contribute to the increase. Our results provide amplified insights into market dynamics by exposing the underlying reasons for stock return co-movements.

坚实的基本面和投资者行为已被证明是影响个股回报与市场共同运动的重要因素。为了确定是基本面还是投资者在决定股票收益共同运动中起主要作用，我们利用自然灾害作为注意力分散事件，可能导致注意力分布不均匀。结果表明，在自然灾害期间，中国股市的这种股票协同运动主要是由坚实的基本面驱动的。具体而言，对当地经济更敏感且面临较差信息环境的公司在灾害期间表现出更大的股票收益协同运动，表明没有证据表明投资者注意力分散。而且，这种增长在灾难发生后一个月内就消失了。我们进一步发现，省内和省间的共同运动有助于增加。我们的研究结果通过揭示股票收益协同运动的潜在原因，为市场动态提供了更深入的见解。

引用次数: 0

Green fees: Sustainability impacts on portfolio management 绿色收费：可持续性对投资组合管理的影响

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2025-11-29 DOI: 10.1016/j.irfa.2025.104812

Doga Alkan , Rayan Ayari , Florentina Paraschiv

As Environmental, Social, and Governance (ESG) regulations tighten, portfolio managers must navigate the trade-offs between sustainability, financial performance, and implementation costs. This is the first study to analyze the impact of ESG rater heterogeneity on portfolio outcomes while explicitly incorporating the transaction costs generated by fixed-interval rebalancing. We assess portfolios based on several ESG screening approaches at varying intensity levels using ratings from Refinitiv, Bloomberg, and MSCI. We construct 182 portfolios from the constituents of the S&P 500, S&P 400, and STOXX 600 indices, with daily observations from 2014 to 2024. Our results show that ESG screening systematically affects portfolio performance, with effects depending on allocation strategy, rating provider, and market context. Stricter screening thresholds amplify these differences by constraining investable universes and increasing rebalancing costs. In addition, we identify key drivers of transaction costs, highlighting the critical role of rater selection and price drifts. Additionally, we perform a block bootstrap simulation for the S&P 500, generating 15,500 individual portfolio paths, and apply a paired permutation test to demonstrate the significance and robustness of the observed differences.

随着环境、社会和治理（ESG）法规的收紧，投资组合经理必须在可持续性、财务绩效和实施成本之间进行权衡。这是第一个分析ESG评分者异质性对投资组合结果影响的研究，同时明确纳入固定间隔再平衡产生的交易成本。我们使用Refinitiv、Bloomberg和MSCI的评级，根据不同强度水平的几种ESG筛选方法评估投资组合。我们从标准普尔500指数、标准普尔400指数和斯托克600指数的成分股中构建了182个投资组合，并从2014年到2024年进行了每日观察。我们的研究结果表明，ESG筛选系统地影响投资组合绩效，其影响取决于配置策略、评级提供商和市场背景。更严格的筛选门槛限制了可投资领域，增加了再平衡成本，从而放大了这些差异。此外，我们确定了交易成本的主要驱动因素，强调了评级选择和价格浮动的关键作用。此外，我们对标普500指数进行了块引导模拟，生成了15,500个单独的投资组合路径，并应用配对排列检验来证明观察到的差异的显著性和鲁棒性。

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引用次数: 0

The role of artificial intelligence in enhancing firm investment efficiency 人工智能在提高企业投资效率中的作用

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2025-11-29 DOI: 10.1016/j.irfa.2025.104830

Nan Lin , Ao Li , Yi Geng , Junchen Yao , Chengyi Liu

This paper investigates the effect of artificial intelligence (AI) on firm investment efficiency. The results show that AI can significantly enhance the investment efficiency of enterprises. This effect is more pronounced in high knowledge-intensity firms, high R&D-intensity firms, and firms with sound internal controls. Mechanism analysis reveals that AI contributes to improved investment efficiency by enhancing innovation capabilities and strengthening the financial health of firms. Furthermore, we find that AI adoption may lead to a rise in firm value. This study adds new insights to how AI influences firms' financial and strategic decision-making, providing a valuable reference for policymakers. It offers guidance for the government in formulating policies that promote intelligent transformation and encourage enterprises to leverage AI for innovation and improved investment efficiency.

本文研究了人工智能对企业投资效率的影响。结果表明，人工智能可以显著提高企业的投资效率。这种效应在高知识强度的企业、高研发强度的企业和具有健全内部控制的企业中更为明显。机制分析表明，人工智能通过增强企业创新能力和增强企业财务健康来提高投资效率。此外，我们发现人工智能的采用可能会导致企业价值的上升。这项研究为人工智能如何影响企业的财务和战略决策提供了新的见解，为政策制定者提供了有价值的参考。它为政府制定促进智能转型的政策提供指导，并鼓励企业利用人工智能进行创新，提高投资效率。

引用次数: 0

Does social health insurance portability promote rural labor migration? Evidence from health care reform in China 社会医疗保险可移植性是否促进了农村劳动力迁移？来自中国医疗改革的证据

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2025-11-29 DOI: 10.1016/j.irfa.2025.104827

Mingyu Wei , Jinke Li

Rural labor migration is a key driver of China's economic development, and social health insurance portability could be a pivotal institutional feature for mitigating labor mobility barriers. However, empirical evidence on its lock-in effect remains inconclusive, particularly based on large-scale, micro level panel data that establishes causality. Employing two quasi-natural experiments in China, encompassing the phased implementation of intraprovincial, intercity, and interprovincial medical settlement policies, this study uses a two-way fixed effects difference-in-differences model on longitudinal panel data from the China Family Panel Studies spanning 2014–2018 to examine the impact of social health insurance portability on rural labor migration. We find that enhancing portability significantly promotes rural labor migration. Mechanism analyses reveal that this effect operates through reducing cross-regional coordination costs, health risk premiums, and familial ties costs. Heterogeneity tests demonstrate that the effects are more pronounced for laborers with poor health status, those from underdeveloped regions, and younger cohorts. Our findings provide robust, micro evidence on the influence of institutional portability in facilitating labor mobility in the world's largest developing economy.

农村劳动力迁移是中国经济发展的关键驱动力，社会医疗保险可移植性可能是缓解劳动力流动障碍的关键制度特征。然而，关于其锁定效应的经验证据仍然不确定，特别是基于建立因果关系的大规模，微观层面的面板数据。本研究在中国开展了两项准自然实验，包括分阶段实施省内、城际和省际医疗结算政策，利用2014-2018年中国家庭面板研究的纵向面板数据，采用双向固定效应异差模型，考察了社会医疗保险可移植性对农村劳动力迁移的影响。研究发现，流动性的提高显著促进了农村劳动力的迁移。机制分析表明，这种效应是通过降低跨区域协调成本、健康风险溢价和家庭关系成本来实现的。异质性检验表明，健康状况较差的劳动者、来自欠发达地区的劳动者和较年轻的劳动者的影响更为明显。我们的研究结果为制度可移植性在促进世界最大发展中经济体劳动力流动方面的影响提供了强有力的微观证据。

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引用次数: 0

Systematic common components in ESG ratings across legal origins 跨法律渊源的ESG评级系统的共同组成部分

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2025-11-26 DOI: 10.1016/j.irfa.2025.104814

Ting Xie , Kausik Chaudhuri , Han Jin , Yongcheol Shin

This study investigates the systematic components of ESG ratings by applying a multilevel factor model using the GCC approach. Leveraging ESG data from MSCI and Refinitiv across countries grouped by legal origin (English, French, German, and Scandinavian), we identify a single global factor consistently present across aggregate ESG scores and individual E/S/G pillars, reflecting the globalisation of ESG standards. However, the number and influence of local factors vary across legal origins and data providers. Notably, Refinitiv ratings are dominated by global factors, while MSCI ratings exhibit stronger local factor influence. These findings reveal rater-specific divergences and mixed evidence on the role of legal origin in shaping ESG performance. We argue that enhancing the relative importance of global factors — through harmonised ESG disclosure standards — can improve the consistency and predictive power of ESG ratings. Policy implications include the need for global mandatory reporting frameworks.

本研究通过采用GCC方法的多层次因素模型来研究ESG评级的系统组成部分。利用MSCI和Refinitiv按法律来源（英国、法国、德国和斯堪的纳维亚）分组的国家的ESG数据，我们确定了一个单一的全球因素，该因素始终存在于ESG总分和单个E/S/G支柱中，反映了ESG标准的全球化。然而，当地因素的数量和影响因法律来源和数据提供者而异。值得注意的是，Refinitiv评级主要受全球因素影响，而MSCI评级则表现出更强的本地因素影响。这些发现揭示了法律来源在塑造ESG绩效方面的作用方面存在相当具体的分歧和混合证据。我们认为，通过统一的ESG披露标准，提高全球因素的相对重要性，可以提高ESG评级的一致性和预测能力。政策影响包括需要建立全球强制性报告框架。

引用次数: 0

Brand culture innovation, digital transformation, and the performance of agribusiness firms 品牌文化创新、数字化转型与农业综合企业绩效

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2025-11-26 DOI: 10.1016/j.irfa.2025.104825

Juan Tang , Qiaodan Li

This study investigates the impact of brand culture innovation on the performance of agribusiness firms, drawing on a sample of Chinese A-share agricultural listed companies from 2014 to 2023. The results demonstrate that brand culture innovation exerts a significantly positive effect on firm performance. Heterogeneity analysis shows that this effect is more pronounced in non-state-owned enterprises and small and medium-sized enterprises. The moderating effect analysis further reveals that the positive influence of brand culture innovation is amplified by firms' digital transformation. Mechanism analysis indicates that brand culture innovation improves firm performance by increasing media attention and fostering green innovation. Overall, this study provides theoretical support and practical implications for agribusiness firms to adopt brand culture innovation, offering important insights for enhancing performance and promoting sustainable development.

本研究以2014 - 2023年中国a股农业上市公司为样本，探讨品牌文化创新对农业综合企业绩效的影响。结果表明，品牌文化创新对企业绩效有显著的正向影响。异质性分析表明，这种效应在非国有企业和中小企业中更为明显。调节效应分析进一步表明，企业数字化转型放大了品牌文化创新的积极影响。机制分析表明，品牌文化创新通过增加媒体关注度和促进绿色创新来提高企业绩效。综上所述，本研究为农商企业实施品牌文化创新提供了理论支持和实践启示，为提升绩效和促进可持续发展提供了重要的见解。

引用次数: 0

The mechanistic role of investor sentiment in futures market risk spillover 投资者情绪在期货市场风险溢出中的机制作用

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2025-11-24 DOI: 10.1016/j.irfa.2025.104819

Han Jiang , Xuexi Huo

Based on data from China's futures market and listed companies spanning 2000–2023, this paper investigates the impact of investor sentiment on risk spillover in the futures market and its underlying mechanisms. The study constructs a fixed effects model and incorporates mediating and moderating effects for empirical analysis. The results indicate that investor sentiment has a significant negative impact on risk spillover in the futures market. The level of corporate debt, corporate profitability, and financing efficiency each serve as mediators in the relationship between investor sentiment and futures market risk spillover. Firm size acts as a moderator in this relationship. Furthermore, there is heterogeneity in the impact of investor sentiment on futures market risk spillover between companies that employ Big Four accounting firms and those that do not. The findings provide a theoretical foundation and empirical support for risk management and policy-making in the futures market.

本文基于2000-2023年中国期货市场和上市公司的数据，研究了投资者情绪对期货市场风险溢出的影响及其机制。本研究构建了固定效应模型，并结合中介效应和调节效应进行实证分析。结果表明，投资者情绪对期货市场风险溢出具有显著的负向影响。企业债务水平、企业盈利能力和融资效率在投资者情绪与期货市场风险溢出的关系中均起中介作用。公司规模在这一关系中起调节作用。此外，投资者情绪对聘用四大会计师事务所和未聘用四大会计师事务所的公司之间期货市场风险溢出的影响存在异质性。研究结果为期货市场的风险管理和决策提供了理论基础和实证支持。

引用次数: 0

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