俄乌战争前后金融科技、ESG和可再生能源指数的溢出分析:国际证据

IF 9.4 3区 管理学 Q1 BUSINESS, FINANCE Journal of International Financial Management & Accounting Pub Date : 2023-05-26 DOI:10.1111/jifm.12179
Rim El Khoury, Nohade Nasrallah, Khaled Hussainey, Rima Assaf
{"title":"俄乌战争前后金融科技、ESG和可再生能源指数的溢出分析:国际证据","authors":"Rim El Khoury,&nbsp;Nohade Nasrallah,&nbsp;Khaled Hussainey,&nbsp;Rima Assaf","doi":"10.1111/jifm.12179","DOIUrl":null,"url":null,"abstract":"<p>This study is epicentral to analyze the impact of the Russia–Ukraine war on the financial markets, specifically focusing on the connectedness and spillover dynamics of FinTech, Environmental, Social, and Governance (ESG), renewable energy, gold, and Morgan Stanley Capital International (MSCI) indices in developed and emerging countries. Data are collected from Thomson Reuters, ranging from May 8, 2020, to May 11, 2022, and a time-varying parameter vector autoregression (TVP-VAR) and the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) t-Copula (DCC-GARCH t-Copula) are used to analyze the data. The results show that FinTech, ESG, and MSCI are net transmitters in developed countries, whereas gold and renewable energy are net receivers pre- and during war periods. ESG and MSCI are net transmitters in emerging countries, while FinTech, renewable energy, and gold become net receivers in both periods. The hedging ratio sheds light on the costs and weights of efficient pair investments that might change in the context of each region and under the combined scenario. The study has important implications for merchant bankers, policymakers, investors, hedgers, and risk managers.</p>","PeriodicalId":46659,"journal":{"name":"Journal of International Financial Management & Accounting","volume":null,"pages":null},"PeriodicalIF":9.4000,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jifm.12179","citationCount":"25","resultStr":"{\"title\":\"Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence\",\"authors\":\"Rim El Khoury,&nbsp;Nohade Nasrallah,&nbsp;Khaled Hussainey,&nbsp;Rima Assaf\",\"doi\":\"10.1111/jifm.12179\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This study is epicentral to analyze the impact of the Russia–Ukraine war on the financial markets, specifically focusing on the connectedness and spillover dynamics of FinTech, Environmental, Social, and Governance (ESG), renewable energy, gold, and Morgan Stanley Capital International (MSCI) indices in developed and emerging countries. Data are collected from Thomson Reuters, ranging from May 8, 2020, to May 11, 2022, and a time-varying parameter vector autoregression (TVP-VAR) and the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) t-Copula (DCC-GARCH t-Copula) are used to analyze the data. The results show that FinTech, ESG, and MSCI are net transmitters in developed countries, whereas gold and renewable energy are net receivers pre- and during war periods. ESG and MSCI are net transmitters in emerging countries, while FinTech, renewable energy, and gold become net receivers in both periods. The hedging ratio sheds light on the costs and weights of efficient pair investments that might change in the context of each region and under the combined scenario. The study has important implications for merchant bankers, policymakers, investors, hedgers, and risk managers.</p>\",\"PeriodicalId\":46659,\"journal\":{\"name\":\"Journal of International Financial Management & Accounting\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":9.4000,\"publicationDate\":\"2023-05-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jifm.12179\",\"citationCount\":\"25\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of International Financial Management & Accounting\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/jifm.12179\",\"RegionNum\":3,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Management & Accounting","FirstCategoryId":"91","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jifm.12179","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 25

摘要

本研究以分析俄乌战争对金融市场的影响为中心,特别关注发达国家和新兴国家金融科技、环境、社会和治理(ESG)、可再生能源、黄金和摩根士丹利资本国际(MSCI)指数的连通性和溢出动态。数据收集自汤森路透,时间为2020年5月8日至2022年5月11日,使用时变参数向量自回归(TVP-VAR)和动态条件相关(DCC)广义自回归条件异方差(GARCH)t-Copula(DCC-GARCH-t-Copula)来分析数据。结果表明,金融科技、ESG和摩根士丹利资本国际是发达国家的净发送器,而黄金和可再生能源是战前和战争期间的净接收器。ESG和MSCI是新兴国家的净发送器,而金融科技、可再生能源和黄金在这两个时期都成为净接收器。套期保值比率揭示了有效配对投资的成本和权重,这些成本和权重可能会在每个地区的背景下以及在组合情景下发生变化。该研究对商业银行家、政策制定者、投资者、套期保值者和风险管理者具有重要意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

摘要图片

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence

This study is epicentral to analyze the impact of the Russia–Ukraine war on the financial markets, specifically focusing on the connectedness and spillover dynamics of FinTech, Environmental, Social, and Governance (ESG), renewable energy, gold, and Morgan Stanley Capital International (MSCI) indices in developed and emerging countries. Data are collected from Thomson Reuters, ranging from May 8, 2020, to May 11, 2022, and a time-varying parameter vector autoregression (TVP-VAR) and the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) t-Copula (DCC-GARCH t-Copula) are used to analyze the data. The results show that FinTech, ESG, and MSCI are net transmitters in developed countries, whereas gold and renewable energy are net receivers pre- and during war periods. ESG and MSCI are net transmitters in emerging countries, while FinTech, renewable energy, and gold become net receivers in both periods. The hedging ratio sheds light on the costs and weights of efficient pair investments that might change in the context of each region and under the combined scenario. The study has important implications for merchant bankers, policymakers, investors, hedgers, and risk managers.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
9.10
自引率
2.00%
发文量
23
期刊介绍: The Journal of International Financial Management & Accounting publishes original research dealing with international aspects of financial management and reporting, banking and financial services, auditing and taxation. Providing a forum for the interaction of ideas from both academics and practitioners, the JIFMA keeps you up-to-date with new developments and emerging trends.
期刊最新文献
Cross‐border cooperation and tax avoidance of U.S. cross‐listed firms Issue Information How does asset redeployability affect stock price crash risk? Integrated reporting quality and negative ESG media coverage: Empirical evidence from South Africa Employee training and bank stability
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1