Research in International Business and Finance最新文献

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Interlinkage between lending and borrowing tokens and US equity sector: Implications for social finance 借贷代币与美国股票行业之间的相互联系：对社会融资的影响

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-10-11 DOI: 10.1016/j.ribaf.2024.102630

Shoaib Ali , Ting Zhang , Imran Yousaf

Decentralized peer-to-peer social network-based platforms and financial products (i.e., tokens) are emerging phenomena in the area of social finance. This paper explores the return and volatility spillovers between Lending and Borrowing tokens and US equity sectors using the TVP-VAR framework. The results indicate a considerable static return and volatility spillovers between tokens and sectors. Most equity sectors are net transmitters of return and volatility spillovers, whereas tokens are more net receivers. Moreover, our findings show that dynamic return and volatility spillovers vary over time and experience a significant rise during the initial phase of the Russia-Ukraine conflict in the second quarter of 2022. Finally, we explore the portfolio implication of DeFi and find that the hedge effectiveness scores are significantly greater than zero at a 1 % significant level for all optimal weights and hedge ratios of sector/token pairs, suggesting that investors and portfolio managers should consider adding tokens to their equity sector portfolios and adjust the portfolio allocations over time to achieve diversification benefits. This paper explores the association between social finance-based emerging tokens and traditional equity markets, providing insightful information to policymakers and portfolio managers regarding diversification, hedging, and risk management.

基于社交网络的去中心化点对点平台和金融产品（即代币）是社交金融领域的新兴现象。本文利用 TVP-VAR 框架探讨了借贷代币与美国股票行业之间的回报率和波动率溢出效应。结果表明，代币和股票部门之间存在相当大的静态回报和波动溢出效应。大多数股票部门是回报和波动溢出效应的净传递者，而代币则更多是净接受者。此外，我们的研究结果表明，动态回报和波动溢出效应随时间而变化，并在 2022 年第二季度俄乌冲突的初始阶段显著上升。最后，我们探讨了 DeFi 对投资组合的影响，发现在 1% 的显著水平下，行业/代币对的所有最优权重和对冲比率的对冲有效性得分均显著大于零，这表明投资者和投资组合经理应考虑将代币添加到其股票行业投资组合中，并随着时间的推移调整投资组合配置，以实现多样化收益。本文探讨了以社会金融为基础的新兴代币与传统股票市场之间的关联，为政策制定者和投资组合经理提供了有关多元化、对冲和风险管理的深刻信息。

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引用次数: 0

Influence of green ICT and socioeconomic factors on sustainable development: Evidence from Chinese provinces 绿色 ICT 和社会经济因素对可持续发展的影响：来自中国各省的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-10-11 DOI: 10.1016/j.ribaf.2024.102624

Muhammad Zubair Chishti , Muhammad Salam , Sorphasith Xaisongkham , Anna Min Du

We examine the impact of green information communication technology, while considering the conditioning role of other seminal factors. Using panel quantile-quantile granger causality testing and method of moments quantile regression for Chinese provinces for 2000–2019, we find that green information communication technology promotion, human capital, and urbanization positively impact green growth, while globalization, energy intensity, and carbon emissions are not significant. Results highlight the importance of green information communication technology for sustainable development.

我们研究了绿色信息通信技术的影响，同时考虑了其他开创性因素的调节作用。通过对 2000-2019 年中国各省的面板量纲-量纲格兰杰因果检验和矩量回归方法，我们发现绿色信息通信技术推广、人力资本和城市化对绿色增长有积极影响，而全球化、能源强度和碳排放不显著。结果凸显了绿色信息通信技术对可持续发展的重要性。

引用次数: 0

Connectedness and systemic risk between FinTech and traditional financial stocks: Implications for portfolio diversification 金融科技股与传统金融股之间的关联性和系统性风险：投资组合多样化的意义

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-10-11 DOI: 10.1016/j.ribaf.2024.102629

Irene Henriques, Perry Sadorsky

The rapid growth in FinTech is attracting significant investor attention. There are concerns that FinTech stocks may be a source of systemic risk and this has implications for the stability of the financial sector. This study uses a TVP-VAR model to estimate the dynamic connectedness between global FinTech stocks and the stocks of large US banks, regional US banks, US insurance, and global private equity. The findings reveal that FinTech and insurance stocks are net receivers of shocks while large US banks are a major source of shocks. Thus, FinTech stocks are not a source of systemic risk but can be affected by financial contagion and systemic risk originating from large US banks. The highest connectedness was observed at the onset of the COVID-19 lockdowns illustrating the dramatic impact that a health pandemic can have on systemic risk. Systemic risk also increased during the 2023 US bank panic. Connectedness has implications for constructing investment portfolios. The equally weighted, risk parity, and risk parity connectedness portfolios have similar portfolio summary statistics, but lower risk adjusted returns than the maximum Sharpe ratio portfolio which better captures the low correlation between FinTech stocks and traditional financial stocks. These results are robust across various portfolio rebalancing periods (daily, weekly, monthly).

金融科技的快速发展吸引了投资者的极大关注。有人担心，金融科技股可能成为系统性风险的来源，这对金融行业的稳定性产生了影响。本研究使用 TVP-VAR 模型来估算全球金融科技股与美国大型银行、美国地区性银行、美国保险和全球私募股权之间的动态关联性。研究结果表明，金融科技股和保险股是冲击的净接收者，而美国大型银行则是冲击的主要来源。因此，金融科技股不是系统性风险的来源，但会受到源自美国大型银行的金融传染和系统性风险的影响。在 COVID-19 封锁开始时，金融科技股的关联度最高，这说明了卫生大流行对系统风险的巨大影响。在 2023 年美国银行恐慌期间，系统风险也有所上升。关联性对构建投资组合有影响。等权重投资组合、风险平价投资组合和风险平价连通性投资组合具有相似的投资组合汇总统计，但风险调整回报率低于最大夏普比率投资组合，而最大夏普比率投资组合能更好地捕捉金融科技股与传统金融股之间的低相关性。这些结果在不同的投资组合再平衡时期（每天、每周、每月）都很稳健。

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引用次数: 0

Inclusive finance and sustainability: The dynamic spillover effects of uncertainties on access to credit 普惠金融与可持续性：不确定性对获得信贷的动态溢出效应

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-10-11 DOI: 10.1016/j.ribaf.2024.102628

Yunpeng Sun , Giray Gozgor , Chi Keung Marco Lau , Alaa M. Soliman

A firm's access to domestic credit is crucial in inclusive finance for businesses, particularly small and medium-sized enterprises, to invest and grow. Sustainable and inclusive economic growth requires a healthy private sector with access to financial resources. This paper explores how uncertainty from major economies (measured by Uncertainty Spillover indices) can limit domestic credit availability in the private sector. Analysing a panel dataset encompassing 100 developed and developing economies from 1996 to 2019, the research reveals that uncertainties stemming from China and the United States significantly reduce the availability of domestic financial resources. Uncertainties surrounding other G7 economies (Canada, France, Germany, Italy, Japan, and the United Kingdom) also exhibit a negative association; however, their effects are statistically insignificant. The robustness of these findings is confirmed across various empirical models and income classifications. Possible implications for inclusive finance and sustainable economic growth are also discussed.

企业获得国内信贷对于企业，尤其是中小型企业的投资和增长至关重要。要实现可持续的包容性经济增长，就必须有一个能够获得金融资源的健康的私营部门。本文探讨了主要经济体的不确定性（以不确定性溢出指数衡量）如何限制私营部门的国内信贷供应。通过分析 1996 年至 2019 年 100 个发达经济体和发展中经济体的面板数据集，研究发现，来自中国和美国的不确定性大大降低了国内金融资源的可用性。围绕七国集团（G7）其他经济体（加拿大、法国、德国、意大利、日本和英国）的不确定性也表现出负相关，但其影响在统计上并不显著。这些发现的稳健性在不同的实证模型和收入分类中都得到了证实。此外，还讨论了对包容性金融和可持续经济增长的可能影响。

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引用次数: 0

Small and medium-sized enterprises and sustainable transition: Role of FinTech in a country's banking ecosystem 中小企业与可持续转型：金融科技在国家银行生态系统中的作用

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-10-11 DOI: 10.1016/j.ribaf.2024.102625

Andrea Quintiliani

During the sustainable transition, small and medium-sized enterprises (SMEs) request funding to support environmental, social, and governance (ESG) investments. In particular, these requests clash with information asymmetries typical of the bank–firm relationship, causing SMEs to experience credit crunch phenomena or increased loan costs. This aforementioned phenomenon prompted this study to examine whether FinTech increases banks’ ability to support the development of SMEs aimed at achieving ESG or, better yet, sustainable transition goals. The results suggest that FinTech in a country’s banking ecosystem improves the ESG performance of Italian and British SMEs by addressing adverse selection and moral hazard issues. This study also shows a more pronounced effect in the UK banking ecosystem, which has a higher level of FinTech development and diffusion.

在可持续转型期间，中小型企业（SMEs）要求获得资金以支持环境、社会和治理（ESG）投资。特别是，这些请求与银行-企业关系中典型的信息不对称相冲突，导致中小企业出现信贷紧缩现象或贷款成本增加。上述现象促使本研究探讨金融科技是否能提高银行支持中小企业发展的能力，从而实现 ESG 目标，或者更好地实现可持续转型目标。研究结果表明，一国银行生态系统中的金融科技通过解决逆向选择和道德风险问题，提高了意大利和英国中小企业在环境、社会和公司治理方面的表现。本研究还显示，金融科技发展和传播水平较高的英国银行生态系统的效果更为明显。

引用次数: 0

Impact of central bank digital currency uncertainty on international financial markets 中央银行数字货币的不确定性对国际金融市场的影响

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-10-11 DOI: 10.1016/j.ribaf.2024.102627

Zheng Lü , Oguzhan Ozcelebi , Seong-Min Yoon

Is the impact of central bank digital currency (CBDC) uncertainty on investment and financial stability significant? To address this pivotal question in the era of CBDC development, we employ a combination of models: the time-varying parameter vector autoregression with stochastic volatility (TVP-SV-VAR); the Baba, Engle, Kraft, and Kroner multivariate generalized autoregressive conditional heteroskedasticity (BEKK-MGARCH) model, and wavelet quantile correlation (WQC) analysis. Based on the findings, macrofinancial variables significantly respond to CBDC uncertainty shocks, exhibiting time-varying, heterogeneous, and stage-specific characteristics. These effects are most pronounced in the short term, but diminish over the long term. Notably, the impact of CBDC uncertainty shocks on other financial variables exceeds the reverse impact. In addition, asymmetric volatility spillovers are found, suggesting complex interdependencies. The implication of the findings is that interactions between CBDC uncertainty and financial variables evolve across short-, medium-, and long-term horizons, emphasizing the need for central banks to adopt a flexible approach in CBDC design to alleviate market concerns and enhance overall financial stability.

央行数字货币（CBDC）的不确定性对投资和金融稳定的影响是否显著？为了解决 CBDC 发展时期的这一关键问题，我们采用了多种模型组合：具有随机波动性的时变参数向量自回归（TVP-SV-VAR）；Baba、Engle、Kraft 和 Kroner 多变量广义自回归条件异方差（BEKK-MGARCH）模型，以及小波量化相关性（WQC）分析。研究结果表明，宏观金融变量对 CBDC 的不确定性冲击有明显反应，表现出时变、异质和阶段性特征。这些影响在短期内最为明显，但在长期内会逐渐减弱。值得注意的是，CBDC 不确定性冲击对其他金融变量的影响超过了反向影响。此外，还发现了非对称的波动溢出效应，表明存在复杂的相互依存关系。这些研究结果的含义是，《建立信任措施协议》的不确定性与金融变量之间的相互作用在短期、中期和长期范围内不断演变，强调中央银行需要在《建立信任措施协议》的设计中采取灵活的方法，以减轻市场担忧并增强整体金融稳定性。

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引用次数: 0

Supply chain finance and outward foreign direct investment 供应链融资和对外直接投资

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-10-10 DOI: 10.1016/j.ribaf.2024.102620

Kai Wang , Ning Ding , Chenbo Wang

This study empirically examines the impact of Chinese A-share-listed companies' supply chain finance (SCF) application on outward foreign direct investment (OFDI) by textually analyzing SCF keywords from listed companies' announcements from 2010 to 2021. The results show that applying SCF can significantly increase OFDI. Having taken the Staggered Differences-in-Differences (DID) test, Propensity Score Matching (PSM) test, entropy balancing (EB) method, and IV test to solve potential endogeneity problems, the results remain robust. Further, alleviating financial constraints and strengthening total factor productivity are critical mechanisms of SCF on OFDI. Moreover, the location of firms in regions with higher levels of the rule of law or advanced financial technology could further amplify the positive impact of SCF on OFDI. Finally, compared with exports, firms are more likely to choose OFDI. Besides the depth and breadth of OFDI, the investment amount of OFDI is also increasing because of SCF.

本研究通过对 2010 年至 2021 年上市公司公告中供应链金融关键词的文本分析，实证检验了中国 A 股上市企业应用供应链金融对对外直接投资的影响。结果表明，供应链金融的应用可以显著增加对外直接投资。通过交错差分（DID）检验、倾向得分匹配（PSM）检验、熵平衡（EB）方法和IV检验来解决潜在的内生性问题，结果依然稳健。此外，缓解金融约束和提高全要素生产率是 SCF 影响对外直接投资的关键机制。此外，企业位于法治水平较高或金融技术较先进的地区，也会进一步扩大 SCF 对对外直接投资的积极影响。最后，与出口相比，企业更倾向于选择对外直接投资。除了对外直接投资的深度和广度外，对外直接投资的投资额也因 SCF 而增加。

引用次数: 0

A step toward the attainment of carbon neutrality and SDG-13: Role of financial depth and green technology innovation 向实现碳中和和可持续发展目标 13 迈出一步：金融深度和绿色技术创新的作用

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-10-10 DOI: 10.1016/j.ribaf.2024.102631

Sunil Tiwari , Arshian Sharif , Emrah Sofuoğlu , Florian Nuta

Following the recommendations of COP28 and Sustainable Development Goal −13 (Climate Action), the present study examines the role of financial depth and green technology innovation in carbon neutrality and climate change. This study measures the relationship between green innovation, technological innovation, ICT, financial depth, economic growth, carbon emission, and ecological footprint from 1990 to 2021 in the USA. The autoregressive distributed lag (ARDL) model examines the relationship between the above-mentioned variables and their impacts on each other. Results reveal that green innovation, technological innovation, ICT, and financial depth significantly negatively impact ecological footprint and carbon emissions in both the short and long run. In contrast, economic growth positively impacts carbon emissions and ecological footprint. Green and financial innovation-centric policies are suggested to the USA to attain net zero emission and SDG-13.

根据 COP28 和可持续发展目标-13（气候行动）的建议，本研究探讨了金融深度和绿色技术创新在碳中和与气候变化中的作用。本研究测量了 1990 年至 2021 年美国绿色创新、技术创新、信息和通信技术、金融深度、经济增长、碳排放和生态足迹之间的关系。自回归分布滞后（ARDL）模型考察了上述变量之间的关系及其相互影响。结果显示，绿色创新、技术创新、信息和通信技术以及金融深度在短期和长期内都会对生态足迹和碳排放产生显著的负面影响。相比之下，经济增长对碳排放和生态足迹产生正向影响。为美国实现净零排放和可持续发展目标 13 提出了以绿色和金融创新为中心的政策建议。

引用次数: 0

Asymmetry in returns and volatility between green financial assets, sustainable investments, clean energy, and international stock markets 绿色金融资产、可持续投资、清洁能源和国际股票市场之间的收益和波动不对称

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-10-10 DOI: 10.1016/j.ribaf.2024.102626

Buhari Doğan , Sami Ben Jabeur , Aviral Kumar Tiwari , Emmanuel Joel Aikins Abakah

This paper presents empirical evidence on the asymmetric relationship between green investments and international stock markets. We employ the asymmetric versions of Diebold and Yilmaz (2012) and Barunik and Krehlik (2018) for time-frequency connectedness, analyzing daily returns and volatilities from June 23, 2009, to June 23, 2022. Our study reveals significant time-frequency asymmetries in returns and volatility spillovers between green investments and developed equity markets in the short and long term. Regarding net directional spillovers, the equity markets in the United States, the United Kingdom, Italy, Germany, and France emerge as net transmitters of shocks. In contrast, green investments, notably those in sustainability and the environment, act primarily as net emitters of shocks. China and Japan are the primary recipients of these shocks. Meanwhile, green bonds generally function as net receivers of shocks, with occasional exceptions.

本文提出了绿色投资与国际股票市场之间非对称关系的实证证据。我们采用 Diebold 和 Yilmaz（2012 年）以及 Barunik 和 Krehlik（2018 年）的非对称版本进行时频关联，分析了 2009 年 6 月 23 日至 2022 年 6 月 23 日期间的日收益率和波动率。我们的研究揭示了绿色投资与发达股票市场之间在短期和长期回报和波动溢出方面存在明显的时频不对称。在净定向溢出方面，美国、英国、意大利、德国和法国的股票市场成为冲击的净传播者。相比之下，绿色投资，尤其是可持续发展和环境领域的绿色投资，主要是冲击的净释放者。中国和日本是这些冲击的主要接受者。与此同时，绿色债券通常是冲击的净接受者，偶尔也有例外。

引用次数: 0

Firm-level political risk and CEO compensation 公司层面的政治风险与首席执行官薪酬

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-10-10 DOI: 10.1016/j.ribaf.2024.102614

Chunmi Jeon, Seung Hun Han, Yunji Hwang

This study examines the impact of firm-level political risk (FLPR) on CEO compensation. Firm cash flow and CEO bargaining power are examined to ascertain whether they moderate this relationship. FLPR exposure is measured using a computational linguistic method to analyze the manuscripts of firm earnings conference calls. The findings indicate that FLPR is negatively related to CEO compensation but that firm cash flow and CEO bargaining power positively moderate this relationship. These results are consistent with endogeneity and robustness tests, including alternative measures of FLPR and CEO compensation.

本研究探讨了公司层面的政治风险（FLPR）对首席执行官薪酬的影响。研究还考察了公司现金流和首席执行官的议价能力，以确定它们是否会缓和这种关系。使用计算语言学方法来分析公司收益电话会议的手稿，从而衡量 FLPR 风险。研究结果表明，FLPR 与 CEO 薪酬呈负相关，但公司现金流和 CEO 议价能力对这种关系有正向调节作用。这些结果与内生性和稳健性检验一致，包括 FLPR 和 CEO 薪酬的替代测量方法。

引用次数: 0

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