International Journal of Financial Studies

Financial econometrics has expanded rapidly in recent decades, giving researchers many new tools for empirical analysis. Yet empirical findings often remain sensitive to modeling choices, sample construction, and specification decisions, suggesting that many disagreements arise not from estimation methods alone but from deeper limitations in what data can reveal. This survey organizes financial econometrics around three issues that determine the credibility of empirical inference: identification, dependence, and uncertainty. Identification concerns whether economic quantities such as causal effects, risk premia, and structural parameters can be credibly recovered from observable data. Dependence recognizes that assets, firms, and markets are interconnected, reducing the amount of independent information contained in financial data. Uncertainty captures not only sampling variation but also model misspecification, measurement error, and competing explanations. We review how these problems arise in asset pricing, corporate finance, ESG, and risk management and discuss implications for empirical design and inference.

Energy transition is central to both economic development and climate-change mitigation and has become a shared global challenge. Given the close relationship between conventional energy prices and the development of the new-energy industry, this study investigates systemic risk spillovers among three crude-oil futures, two natural-gas futures, and five Chinese new-energy sector indices. We employ a quantile time-frequency-connectedness framework and an out-of-sample-validated link-prediction model to assess both realized spillovers and potential changes in the network structure. The results reveal that network connectedness is time-varying and asymmetric across quantiles, with short-horizon connectedness accounting for the majority of average system-wide connectedness. Overall connectedness also increases markedly during major crisis episodes. INE crude-oil futures and both natural-gas futures are net receivers of shocks, whereas WTI and Brent crude-oil futures consistently act as net transmitters, with Brent playing the dominant role under extreme market conditions. As the investment horizon lengthens, the solar sector shifts from a net risk receiver to a net risk transmitter. In the predicted network, the solar sector emerges as the market most likely to initiate new short-term spillover links. This finding reflects a prospective, model-implied tendency rather than a causal relationship. These findings offer useful implications for energy market policy, portfolio risk management, and investment decisions involving new-energy companies.

Whether green-bond issuance is associated with shareholder value remains unclear in small, concentrated emerging markets, where signaling and information-asymmetry channels from developed-market studies may not operate the same way. This study examines short-term stock-market reactions and medium-term firm valuation associated with green-bond issuance among the full population of 20 eligible Thai listed issuers: 34 analytical issuance events from May 2019 to May 2026, and an annual panel of 20 firms observed from 2015 to 2025, comprising 220 repeated firm-year observations and 187 complete cases in the baseline regression. Event-study models find no statistically detectable average abnormal return around the issue date, robust across benchmark models and event windows; two-way fixed-effect panel regressions, likewise, find no statistically detectable average association with Tobin’s Q, with a confidence interval wide enough to admit economically meaningful effects in either direction. The matching and selection analyses remain inconclusive. The IV model has a weak first stage and is therefore reported only as a diagnostic. Because the design identifies within-firm variation among issuers, rather than a comparison with matched non-issuers, the results should be read as associations, rather than causal effects. The study provides census-based evidence that, in Thailand’s small and concentrated green-bond market, a green label may not yet carry detectable average value relevance for shareholders.