Research in International Business and Finance最新文献

英文中文

Information flow between stock returns of advanced markets and emerging African economies 发达市场与非洲新兴经济体股票收益之间的信息流动

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-09-26 DOI: 10.1016/j.ribaf.2024.102603

Umar-Farouk Atipaga , Imhotep Alagidede , George Tweneboah

This article used transfer entropy techniques to examine information flows of daily stock market returns between advanced markets and emerging African economies. We modelled the information transfers across different periods of global shocks – the Federal Reserve Bank normalisation post the Global Financial Crisis, oil price shocks, BREXIT, the U.S.-China trade war, and COVID-19. Information interactions from advanced to African markets were moderate, occasionally mixed, and insignificant, leaving room for portfolio diversification. We also discovered some progress regarding the integration process between the developed and African markets on the back of noticeable information exchanges. Our findings from the information exchanges indicate that the stock markets of South Africa, Egypt, Nigeria, and Kenya have led the integration process ahead of their peers. To robust-check our results, we employed the wavelet multiple correlation (WMC) technique by modelling the multi-structure relationship among all the stock markets and confirmed the fast integration between the South African stock market and the developed markets. Our WMC results also revealed that portfolio diversification opportunities are feasible in the short term. The results present important implications for optimal risk management strategies and policy measures to anchor markets to withstand shocks.

本文利用转移熵技术研究了先进市场和非洲新兴经济体之间每日股市回报的信息流。我们对不同时期的全球冲击--全球金融危机后联邦储备银行正常化、石油价格冲击、英国脱欧、中美贸易战和 COVID-19--进行了信息转移建模。从发达市场到非洲市场的信息互动是温和的，有时是混合的，而且不显著，这为投资组合多样化留出了空间。我们还发现，发达市场与非洲市场的一体化进程在明显的信息交流中取得了一些进展。我们从信息交流中得出的结论表明，南非、埃及、尼日利亚和肯尼亚的股票市场在一体化进程中领先于其他市场。为了对我们的结果进行稳健性检验，我们采用了小波多重相关性（WMC）技术，对所有股票市场之间的多重结构关系进行建模，证实了南非股票市场与发达市场之间的快速融合。我们的小波多重相关性结果还显示，投资组合多样化的机会在短期内是可行的。这些结果对优化风险管理策略和政策措施具有重要意义，有助于市场抵御冲击。

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引用次数: 0

Expansion or retrenchment: Corporate investment reactions to external security risks 扩张还是紧缩？企业投资对外部安全风险的反应

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-09-25 DOI: 10.1016/j.ribaf.2024.102595

Hailiang Zhang , Yao Li , Haijun Wang , Lei Yin

Intensifying power competition has raised the need to understand how corporations react to international security dynamic challenges. Using data on Chinese A-share listed companies from 2012 to 2022, we developed an index to measure external security risk and empirically study the influence of external security risks on corporate investment behavior. These findings indicate that corporations reduce real investment and increase financial asset allocation when external security risk is high. Meanwhile, corporations tend to expand overseas investments to enhance international diversification and turn toward low-risk regions. The technology and strategic emerging sectors exhibit a higher preference for real investment during periods of high external security risk. Furthermore, entrepreneurs’ family-nation sentiment can inhibit corporate financial investment and promote real investment. This study contributes to understanding how the external security environment shapes corporate investment strategies. It also demonstrates how entrepreneurial spirit can influence corporate investment decisions during periods of high security risk.

日益激烈的权力竞争要求我们了解企业如何应对国际安全动态挑战。我们利用 2012 年至 2022 年中国 A 股上市公司的数据，编制了外部安全风险度量指数，并实证研究了外部安全风险对企业投资行为的影响。研究结果表明，当外部安全风险较高时，企业会减少实际投资，增加金融资产配置。同时，企业倾向于扩大海外投资以加强国际多元化，并转向低风险地区。在外部安全风险高发期，科技和战略新兴产业表现出更高的实物投资偏好。此外，企业家的家国情怀会抑制企业的金融投资，促进实体投资。本研究有助于理解外部安全环境如何影响企业投资战略。它还证明了企业家精神如何在高安全风险时期影响企业投资决策。

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引用次数: 0

Multiscale cross-sector tail credit risk spillovers in China: Evidence from EEMD-based VAR quantile analysis 中国多尺度跨行业尾部信用风险溢出效应：基于EEMD的VAR量化分析的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-09-25 DOI: 10.1016/j.ribaf.2024.102602

Liya Hau , Xiaoli Liu , Xinyu Wu

This paper employs EEMD-based VAR for VaR methodology to explore the spillovers of credit risk across sectors in China, focusing on multiple time scales and tail effects. Analysis of daily sectoral CDS spreads reveals that the extent and direction of cross-sector tail risk spillovers vary across sectors and time horizons, showing more pronounced effects in the medium to long term. Notably, the most substantial upside tail credit risk spillovers have been found from the Government sector to others. Moreover, asymmetric spillovers are verified at all time scales, and the extent of these spillovers varies depending on the conditioning quantiles. Finally, the results of the multiscale pseudo quantile impulse response analysis show that sectoral tail credit risk is more sensitive to negative shocks from other sectors than to positive ones, with responses decaying at a slower rate for negative shocks. These findings provide valuable insights for investors and regulators.

本文采用基于 EEMD 的 VAR for VaR 方法探讨中国跨行业信用风险的溢出效应，重点关注多时间尺度和尾部效应。对每日行业 CDS 利差的分析表明，跨行业尾部风险溢出的程度和方向因行业和时间跨度而异，在中长期的影响更为明显。值得注意的是，从政府部门到其他部门的上行尾部信用风险溢出效应最为显著。此外，非对称溢出效应在所有时间尺度上都得到了验证，而且这些溢出效应的程度因条件量化而异。最后，多尺度伪量子脉冲响应分析的结果表明，部门尾部信贷风险对来自其他部门的负面冲击比对正面冲击更敏感，负面冲击的响应衰减速度更慢。这些研究结果为投资者和监管者提供了宝贵的启示。

引用次数: 0

Multiple large shareholders and pay-performance sensitivity: Evidence from China 多个大股东与薪酬绩效敏感性：来自中国的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-09-25 DOI: 10.1016/j.ribaf.2024.102597

Xinyu Liu , Shuanping Gao , Lijing Tong , Jiyuan Li

This study investigates whether and how multiple large shareholders affect pay-performance sensitivity. Our findings suggest that multiple large shareholders can enhance pay-performance sensitivity by improving the efficacy of compensation committees and reducing inefficient investments. Further analysis reveals that this positive governance effect is more pronounced in firms with more severe agency problems, weaker external governance mechanisms, and higher accounting comparability. We also find that the impact of multiple large shareholders on pay-performance sensitivity is more significant in state-owned enterprises, where corporate governance is often deficient due to government’ multifaceted objectives and limited oversight of managers. Overall, this study contributes to existing literature by enriching the research on ownership structure and pay-performance sensitivity, and offering new insights into the governance dynamics associated with multiple large shareholders within the context of compensation contracting.

本研究探讨了多个大股东是否以及如何影响薪酬绩效敏感性。我们的研究结果表明，多个大股东可以通过提高薪酬委员会的效率和减少低效投资来增强薪酬-绩效敏感性。进一步的分析表明，这种积极的治理效应在代理问题更严重、外部治理机制更薄弱、会计可比性更高的公司中更为明显。我们还发现，在国有企业中，多个大股东对薪酬-绩效敏感性的影响更为显著，而在国有企业中，由于政府的多方面目标和对管理者的有限监督，公司治理往往存在缺陷。总之，本研究丰富了对所有权结构和薪酬-绩效敏感性的研究，为现有文献做出了贡献，并为薪酬契约背景下与多个大股东相关的治理动态提供了新的见解。

引用次数: 0

Uncovering patterns of fintech behavior in Italian banks: A multidimensional statistical analysis 揭示意大利银行的金融科技行为模式：多维统计分析

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-09-25 DOI: 10.1016/j.ribaf.2024.102598

Carlo Drago , Francesco Minnetti , Loris Di Nallo , Alberto Manzari

Fintech is changing the financial system and increasing the possibility of access to financial services. Considering the centrality of the banking world in providing financial services, this study aims to offer an analysis of banks' adoption of Fintech. Exploiting a sample of Italian listed banks, this study investigates their adoption of Fintech. Multiple correspondence analysis and hierarchical clustering classification are used to study Fintech factors in Italian banks, starting from significant variables highlighted by the literature: disclosure, financial investments, and collaborations in Sandboxes. Results show that different bank subgroups have specific Fintech features based on various structural characteristics. The implications are both academic and practical. On the one hand, we highlight how these measures make it possible to have homogeneous clusters. On the other hand, we have indications of policies and best practices.

金融科技正在改变金融体系，提高人们获得金融服务的可能性。考虑到银行业在提供金融服务方面的核心地位，本研究旨在对银行采用金融科技的情况进行分析。本研究以意大利上市银行为样本，对其采用金融科技的情况进行了调查。本研究采用多重对应分析和分层聚类分类法，从文献强调的重要变量（信息披露、金融投资和沙盒合作）入手，研究意大利银行采用金融科技的因素。结果表明，不同的银行子群具有基于各种结构特征的特定金融科技特征。这既有学术意义，也有现实意义。一方面，我们强调了这些措施如何使同质分组成为可能。另一方面，我们还指出了政策和最佳做法。

引用次数: 0

Connectedness across environmental, social, and governance (ESG) indices: evidence from emerging markets 环境、社会和治理（ESG）指数之间的关联性：来自新兴市场的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-09-25 DOI: 10.1016/j.ribaf.2024.102596

Ata Assaf , Marcelo Cabus Klotzle , Rafael Baptista Palazzi , Ender Demir

Understanding the spillover effects of environmental, social, and governance (ESG) indexes in emerging economies is crucial to gauge risk of contagion and the potential reduction in ESG investments. Thus, this study examines the interconnectedness of ESG emerging markets indices. To measure the spillover effects, we employ the Diebold and Yilmaz (2009) model and the time-varying parameter structural vector autoregression model (TPV-VAR). In addition, we analyze the potential influence of various risk factors, including economic policy uncertainty (EPU), the fear index (VIX), Brent oil, Daily Infectious Disease Equity Market Volatility Tracker (ID-EMV), and long-term interest rates (10YTB), on ESG connectedness. Our analysis is based on a dataset from November 2014 to February 2022, including the COVID-19 pandemic crisis. Our results reveal significant spillovers among these markets, with the South African market playing a dominant role in transmitting and receiving shocks from other markets. Furthermore, we document the significant impact of various risk factors on the interconnectedness of ESG emerging markets. Our findings have pivotal implications for the risk of contagion in these markets, particularly during periods of crisis, such as the COVID-19 pandemic. Therefore, our research provides valuable insights for investors, regulators, and policymakers seeking to promote sustainable investing and manage systemic risk in emerging markets.

了解新兴经济体中环境、社会和治理（ESG）指数的溢出效应对于衡量环境、社会和治理投资的蔓延风险和潜在减少至关重要。因此，本研究考察了新兴市场 ESG 指数的相互关联性。为了衡量溢出效应，我们采用了 Diebold 和 Yilmaz（2009 年）模型和时变参数结构向量自回归模型（TPV-VAR）。此外，我们还分析了经济政策不确定性（EPU）、恐惧指数（VIX）、布伦特原油、每日传染病股票市场波动跟踪（ID-EMV）和长期利率（10YTB）等各种风险因素对 ESG 关联性的潜在影响。我们的分析基于 2014 年 11 月至 2022 年 2 月的数据集，包括 COVID-19 大流行危机。我们的分析结果表明，这些市场之间存在明显的溢出效应，南非市场在传递和接收来自其他市场的冲击方面发挥着主导作用。此外，我们还记录了各种风险因素对 ESG 新兴市场相互关联性的重大影响。我们的研究结果对这些市场的传染风险具有关键性影响，尤其是在危机时期，如 COVID-19 大流行时期。因此，我们的研究为投资者、监管者和政策制定者提供了宝贵的见解，以促进可持续投资，管理新兴市场的系统性风险。

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引用次数: 0

The impact of digital transformation on the servitization transformation of manufacturing firms 数字化转型对制造业企业服务化转型的影响

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-09-21 DOI: 10.1016/j.ribaf.2024.102588

Xiaoning Sui , Huanhuan Hu , Rong Wang

In the burgeoning digital economy, the deep integration of the digital and real economies, along with industrial digitalization and service-oriented manufacturing, represent future development trends. Investigating the impact of digital transformation on servitization transformation is paramount for promoting the servitization transformation of manufacturing firms. This paper empirically examines data from listed Chinese manufacturing firms between 2007 and 2021, identifying several key findings. First, digital transformation significantly promotes the servitization transformation of manufacturing firms, a conclusion that remains robust through a series of tests. Second, digital transformation can drive the servitization transformation of manufacturing firms through two channels: enhancing total factor productivity and optimizing human capital. Third, the promotive effect of digital transformation on servitization transformation varies across firms with different ownership structures, technological levels, and scales. This study provides empirical evidence for promoting the high-quality development of manufacturing firms and accelerating their servitization transformation in the digital context.

在蓬勃发展的数字经济时代，数字经济与实体经济的深度融合，以及工业数字化和制造业服务化是未来的发展趋势。研究数字化转型对服务化转型的影响，对于推动制造业企业的服务化转型至关重要。本文通过对 2007 年至 2021 年中国制造业上市公司数据的实证研究，得出了几个重要结论。首先，数字化转型极大地促进了制造业企业的服务化转型。第二，数字化转型可以通过提高全要素生产率和优化人力资本两个渠道推动制造业企业的服务化转型。第三，数字化转型对不同所有制结构、技术水平和规模的企业服务化转型的促进作用各不相同。本研究为在数字化背景下促进制造业企业高质量发展、加快其服务化转型提供了经验证据。

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引用次数: 0

Do oil price shocks drive systematic risk premia in stock markets? A novel investment application 油价冲击会推动股票市场的系统性风险溢价吗？一种新颖的投资应用

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-09-19 DOI: 10.1016/j.ribaf.2024.102591

Riza Demirer , Onur Polat , Amin Sokhanvar

This paper examines the effect of oil price shocks on factor returns in a set of 62 stock markets. Oil price shocks capture significant predictive information regarding the size and direction of factor returns in global markets, depending on the market classification and nature of oil shock. Oil supply and precautionary demand shocks possess the greatest predictive power over risk premia, particularly for value and momentum. We argue that time varying investor sentiment and the flexibility of firms to respond to economic shocks drive the responses of factors to oil shocks. More importantly, a conditional global factor investing strategy wherein the investment positions are tilted towards factor-based portfolios, conditional on the size and direction of the oil price shock, yields significant improvements in returns. Our findings show that smart beta strategies can be significantly improved by conditioning factor positions based on the size and direction of oil market shocks.

本文研究了石油价格冲击对 62 个股票市场要素回报的影响。根据市场分类和石油冲击的性质，石油价格冲击对全球市场要素回报的规模和方向具有重要的预测作用。石油供应和预防性需求冲击对风险溢价的预测能力最强，尤其是对价值和动量的预测能力。我们认为，随时间变化的投资者情绪和企业应对经济冲击的灵活性推动了要素对石油冲击的反应。更重要的是，有条件的全球因子投资策略，即投资头寸向基于因子的投资组合倾斜，以油价冲击的规模和方向为条件，能显著提高收益。我们的研究结果表明，根据石油市场冲击的规模和方向调整因子仓位，可以显著改善智能贝塔策略。

引用次数: 0

Signaling vs. agency theory: What drives dividends of promoter-owned firms during a crisis? 信号理论与代理理论：是什么在危机期间推动了发起人所有企业的分红？

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-09-18 DOI: 10.1016/j.ribaf.2024.102590

Neha Gosain, Smita Kashiramka, Neeru Chaudhry

This paper analyses the effect of the COVID-19 pandemic on the relationship between promoter ownership and dividends. Using a sample of listed firms between 2015 and 2021, we find that promoter control positively relates to dividends during normal (pre-crisis) times. This is attributed to the desire to communicate information about the firm’s prospects, supporting the signaling theory. The positive relationship is inversed during the crisis owing to agency motives of withholding resources. To the best of our knowledge, this is the first-ever India-based study examining ownership structure's impacts on the dividend policy during the COVID-19 crisis.

本文分析了 COVID-19 大流行对发起人所有权与股息之间关系的影响。以 2015 年至 2021 年期间的上市公司为样本，我们发现在正常时期（危机前），发起人控制权与股息呈正相关。这归因于公司希望传达有关公司前景的信息，支持信号传递理论。而在危机期间，这种正相关关系则被逆转，原因是代理动机是扣留资源。据我们所知，这是印度首次研究所有权结构对 COVID-19 危机期间股利政策的影响。

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Contingent cash crunch: How do performance commitments affect acquirer liquidity? 或有现金紧缩：业绩承诺如何影响收购方的流动性？

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance

Pub Date : 2024-09-18 DOI: 10.1016/j.ribaf.2024.102592

Kai Wu , Yufei Lu , Donghui Li

This paper investigates how performance commitment clauses in mergers and acquisitions (M&As) influence the corporate liquidity of acquiring firms. Using a comprehensive dataset of Chinese domestic M&A deals from 2008 to 2021, we find that acquisitions involving performance commitments correspond to lower corporate liquidity for acquirers in subsequent years. Difference-in-differences analysis, instrumental variables, and propensity score matching support a causal relationship. Furthermore, cross-sectional tests reveal that this negative association is amplified for nonstate ownership, weak governance, poor reporting quality, and low financial constraints. We find that performance commitments increase management optimism, providing insights into the mechanisms linking contingent deal structures with suboptimal liquidity policies and heightened financial distress. Our study suggests that the contingent contract structures in M&A deals drain corporate liquidity, leaving firms financially vulnerable.

本文研究了并购（M&As）中的业绩承诺条款如何影响并购企业的企业流动性。利用 2008 年至 2021 年中国国内并购交易的综合数据集，我们发现涉及业绩承诺的并购会导致并购方随后几年的企业流动性降低。差异分析、工具变量和倾向得分匹配都支持这种因果关系。此外，横截面测试表明，在非国有所有权、治理薄弱、报告质量差和财务约束低的情况下，这种负相关关系会被放大。我们发现，业绩承诺会增加管理层的乐观情绪，这为我们揭示或有交易结构与次优流动性政策和财务困境加剧之间的关联机制提供了启示。我们的研究表明，并购交易中的或有合同结构会消耗企业的流动性，使企业在财务上处于弱势。

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