Search Results (111)

This research investigates the dynamic spillover effects among green bond markets and the impact of investor sentiment on these spillovers. We employ different research methods, including a time-varying parameter vector autoregression, an exponential general autoregressive conditional heteroscedasticity, and a generalized autoregressive conditional heteroskedasticity-mixed data sampling model. Our sample is for twelve international green bond markets from 3 January 2022 to 31 December 2024. Our results evidence the strong correlation between twelve green bond markets, with the United States and China being the net risk receivers and Sweden being the largest net shock transmitter. We also find the varied impact of direct and indirect investor sentiment on the net total directional spillovers. Our research offers fresh contributions to the existing literature in different ways. On the one hand, it adds to the green finance literature by clarifying the dynamic spillovers among leading international green bond markets. On the other hand, it extends behavioral finance research by including direct and indirect investor sentiment in the spillovers of domestic and foreign green bond markets. Our study is also significant to related stakeholders, including investors in their portfolio rebalancing and policymakers in stabilizing green bond markets. Full article

This study investigates the relationship between sovereign credit rating transitions and domestic equity market performance, focusing on Greece from 2004 to 2024. Although credit ratings are central to sovereign risk assessment, their immediate influence on financial markets remains contested. This research adopts a multi-method analytical framework combining algebraic combinatorics and time-series econometrics. The methodology incorporates the construction of a directed credit rating transition graph, the partially ordered set representation of rating hierarchies, rolling-window correlation analysis, Granger causality testing, event study evaluation, and the formulation of a reward matrix with optimal rating path optimization. Empirical results indicate that credit rating announcements in Greece exert only modest short-term effects on the Athens Stock Exchange General Index, implying that markets often anticipate these changes. In contrast, sequential downgrade trajectories elicit more pronounced and persistent market responses. The reward matrix and path optimization approach reveal structured investor behavior that is sensitive to the cumulative pattern of rating changes. These findings offer a more nuanced interpretation of how sovereign credit risk is processed and priced in transparent and fiscally disciplined environments. By bridging network-based algebraic structures and economic data science, the study contributes a novel methodology for understanding systemic financial signals within sovereign credit systems. Full article

Using time-varying Granger causality, Neural Networks Nonlinear VAR, and Wavelet Coherence analysis, we evidence the unstable effect of the money market rate on industrial production and consumer price index in Tunisia. The effect is asymmetric and depends on geopolitical risk (low versus high). We show that global geopolitical risk has both detriments and benefits sides—it is a threat and an opportunity for monetary policy transmission mechanisms. Interacted local projections (LPs) reveal short–medium-term volatility or dampening effects, suggesting that geopolitical uncertainty might weaken the immediate impact of monetary policy on output and prices. In uncertain environments (e.g., high geopolitical risk), economic agents—households and businesses—may adopt a wait-and-see approach. They delay consumption and investment decisions, which could initially mute the impact of monetary policy. Agents may delay their responses until they gain more information about geopolitical developments. Once clarity emerges, they may adjust their behavior, aligning with the long-run effects observed in the Vector Error Correction Model (VECM). Furthermore, we identify an exacerbating investor sentiment following tightening monetary policy, during global and local geopolitical episodes. The impact is even more pronounced under conditions of high domestic weakness. Evidence is extracted through a novel composite index that we construct using Principal Component Analysis (PCA). Our results have implications for the Central Bank’s monetary policy conduct and communication practices. Full article

This paper investigates the impact of global EPU and China’s EPU on China’s FDI inflows, examining whether financial development and political stability moderate these relationships. Using panel data from 212 countries spanning 2009 to 2022, we first establish causal direction through Granger causality tests, then employ instrumental variable estimation to address endogeneity concerns, while conducting heterogeneity analysis across development levels and Belt and Road Initiative participation. We find that both global and domestic EPU significantly reduce China’s FDI inflows, with a 1% increase in China’s EPU leading to a 0.083% decrease in FDI inflows. However, political stability and financial development serve as effective moderators, reducing EPU’s negative impact by up to 60% and 70%, respectively. The effects vary substantially across investor countries: non-developed countries show ten times stronger sensitivity to EPU than developed countries, while Belt and Road Initiative countries demonstrate 86% lower sensitivity than non-BRI countries. This research advances EPU–FDI theory by demonstrating how institutional quality creates “policy buffers” against uncertainty and provides policymakers with evidence that strengthening political stability and financial development can maintain investor confidence during uncertain periods, while strategic international partnerships can insulate investment flows from policy volatility. Full article

This study investigates the causal impact of stock price crash risk on the cost of equity (COE) in China’s segmented A- and B-share markets with an emphasis on ownership structures and market regimes. Employing a bootstrap panel Granger causality framework, Markov-switching dynamic regression, and panel threshold regression models, the analysis reveals that heightened crash risk significantly increases COE, with the effects being more pronounced for A-shares because of domestic investors’ heightened risk sensitivity. This relationship further intensifies in bull markets, where investor optimism amplifies downside risk perceptions. Ownership segmentation plays a critical role, as foreign investors in B-shares exhibit weaker reliance on firm-level valuation metrics, favoring broader risk-diversification strategies. These findings offer actionable insights into corporate risk management, investor decision making, and policy formulation in segmented and emerging equity markets. Full article

With the development and proliferation of sustainable investing, ESG ratings have gradually become an important basis for measuring corporates’ ESG performance and influencing investors to make investment decisions. However, the validity of ESG ratings has also raised public concerns due to the differences in the evaluation systems and standards of ESG rating agencies. This paper analyzes the effectiveness of ESG rating data provided by Chinese rating agencies in terms of retrospective and predictive effectiveness. It assesses how well these data reflect the past ESG performance of Chinese companies and its ability to predict future ESG performance. The study focuses on China Securities Index 300 companies from 2016 to 2020 and benchmarks their ESG ratings against five indicators derived from negative events. Through regression analysis, this paper studies the association between these indicators and ESG ratings. The results indicate that domestic ESG ratings in China can capture the past ESG performance of Chinese companies, but they can only partially predict the future ESG performance. Full article

I show that house prices can be modeled using machine learning (kNN and tree-bagging) and a small dataset composed of macroeconomic factors (MEF), including an inflation metric (CPI), US Treasury rates (10-yr), Gross Domestic Product (GDP), and portfolio size of central banks (ECB, FED). This set of parameters covers all the parties involved in a transaction (buyer, seller, and financing facility) while ignoring the intrinsic properties of each asset and encompassing local (inflation) and liquidity issues that may impede each transaction composing a market. The model here takes the point of view of a real estate trader who is interested in both the financing and the price of the transaction. Machine learning allows for the discrimination of two periods within the dataset. First, and up to 2015, I show that, although the US Treasury rates level is the most critical parameter to explain the change of house-price indices, other macroeconomic factors (e.g., consumer price indices) are essential to include in the modeling because they highlight the degree of openness of an economy and the contribution of the economic context to price changes. Second, and for the period from 2015 to today, I show that, to explain the most recent price evolution, it is necessary to include the datasets of the European Central Bank programs, which were designed to support the economy since the beginning of the 2010s. Indeed, unconventional policies of central banks may have allowed some institutional investors to arbitrage between real estate returns and other bond markets (sovereign and corporate). Finally, to assess the models’ relative performances, I performed various sensitivity tests, which tend to constrain the possibilities of each approach for each need. I also show that some models can predict the evolution of prices over the next 4 quarters with uncertainties that outperform existing index uncertainties. Full article

This paper examines the intersection between entrepreneurship government policy and managerial theory. The context chosen for this study is India. India has experienced a significant global geopolitical shift that is coinciding with India’s domestic policy reforms and notable domestic initiatives. Since 2014, India’s entrepreneurial ecosystem has seen a significant increase in the number of startups and unicorns. This paper presents arguments that the confluence of global realignments, such as the diversification of supply chains away from China and increasing interest in the Indo-Pacific region, along with domestic initiatives like “Make in India”, “Startup India”, and digitalization drives, along with massive investments in infrastructure improvements, have made India a desirable destination for entrepreneurial activity. By examining these factors through the lens of three theories—resource-based view, global value chain, and innovation ecosystem theory—this paper identifies key opportunities and challenges for entrepreneurs across various sectors. It is hoped that this research will contribute to a deeper understanding of India’s evolving entrepreneurial landscape. In addition, entrepreneurs, policymakers, and investors can benefit from this article to understand the opportunities and challenges India poses in order to contribute to India’s continued economic growth and its emergence as a global entrepreneurial powerhouse. Finally, this paper helps to bridge the gap between economic policy and management theory. Full article

There is growing recognition that build-to-rent (BTR), a novel institutional asset class, could improve rental affordability and housing choice in Australia. Despite favourable market conditions and increasing demand, Australia’s BTR sector remains underdeveloped compared to the US and UK. Although the asset class has attracted significant foreign institutional capital, there is little interest from domestic institutional funds. This contrasting investment behaviour between foreign and domestic funds has brought a new dimension to the debates on BTR in Australia. The study uses qualitative research design to examine institutional investor behaviour towards BTR in Australia. Interviews were conducted with experienced BTR investors across three countries—Australia, the US, and the UK—to understand the barriers and investment behaviour towards BTR. The study finds that the key barriers hindering BTR growth in Australia include unfavourable tax treatment, complex planning processes, and insufficient affordable housing incentives. Institutional investors’ decisions are influenced by firm characteristics, operational capabilities, and risk attitudes. Due to risk considerations, Australian superfunds prefer stabilised assets over new developments. Also, sustainability and ESG factors are increasingly important considerations in BTR investment decisions. The research highlights the need for a supportive regulatory environment, efficient property management, and innovative financing solutions to boost BTR investments. To accelerate BTR growth in Australia, policymakers should address tax disparities, streamline planning processes, and enhance affordable housing incentives. Developing BTR-responsive financial instruments could reduce financing costs and attract more institutional capital to the sector. Full article

The Chinese stock market, marked by rapid growth and significant volatility, presents unique challenges for investors and analysts. A-share stocks, traded on the Shanghai and Shenzhen exchanges, are crucial to China’s financial system and offer opportunities for both domestic and international investors. Accurate stock recommendation tools are vital for informed decision making, especially given the ongoing regulatory changes and economic reforms in China. Current stock recommendation methods often fall short, as they typically fail to capture the complex inter-company relationships and rely heavily on financial reports, neglecting the potential of unlabeled data and historical price trends. In response, we propose a novel approach that combines graph-based structures with historical price data to develop self-learned stock embeddings for A-share recommendations. Our method leverages self-supervised learning, bypassing the need for human-generated labels and autonomously uncovering latent relationships and patterns within the data. This dual-input strategy enhances the understanding of market dynamics, leading to more accurate stock predictions. Our contributions include a novel framework for label-free stock recommendations with modeling stock connections and pricing information, and empirical evidence demonstrating the robustness and adaptability of our approach in the volatile Chinese stock market. Full article

This study examines the impact of exchange rate stability on the economic growth of South Africa from 2000 to 2023, a period characterised by significant political and economic changes. Exchange rate stability is critical for developing countries, affecting key macroeconomic variables such as trade balances, foreign direct investment (FDI), and inflation. For emerging economies like South Africa, maintaining a stable exchange rate can reduce uncertainty in international transactions, foster investor confidence, and support sustainable economic development. This research explores whether consistent exchange rate management has positively influenced South Africa’s economic trajectory, particularly by mitigating the adverse effects of global shocks and domestic volatility. Using the EasyData online database, which contains yearly time series data, the method of analysis adopted by the research is the ordinary least squares (OLS) regression method. The findings show that while exchange rate stability positively impacts GDP, the influence of FDI and political risk is more substantial. These results underscore the importance of fostering a stable economic environment through sound exchange rate policies, political stability, and efforts to attract foreign investments to ensure long-term economic growth. Full article

The performance of foreign investors relative to domestic investors has been a subject of mixed evidence. While foreign investors are often perceived to underperform due to an information disadvantage, they are also known for their aggressive trading and superior performance in initiated orders. We provide further clarity on this issue. Specifically, by analyzing over five million transactions on the Jakarta Stock Exchange, our findings reveal that foreign investors consistently outperform domestic investors in terms of both annualized returns and profit amounts. Further investigation attributes this outperformance to the higher sophistication of foreign investors, who demonstrate superior stock-picking abilities and effective growth investing strategies. Full article

Recent years have seen the influence of both institutional investors and corporate social responsibility strengthen in the Chinese capital market. However, research on the impact of these market changes on corporate activities and values has been insufficient. To address this gap, this study analyzes the impact of foreign and domestic institutional investors who invest in Chinese A-share listed companies on corporate value through environmental, social, and governance (ESG) policies. The results of the analysis are as follows: First, the shareholding of both foreign institutional investors (FIIs) and domestic institutional investors (DIIs) enhances corporate value. Second, the shareholding of FIIs strengthens the company’s ESG, while that of DIIs does not significantly affect it. Third, ESG has a positive impact on corporate value. Fourth, ESG partially mediates the positive relationship between the shareholding of FIIs and corporate value. The research findings provide academic implications for the causal relationship between corporate governance, sustainable management, and performance, as well as practical implications for the development of the Chinese capital market and corporate sustainability. Full article

Energy has historically enticed significant interest from foreign investors. Simultaneously, it has perpetually held a pivotal position in any nation’s framework. Consequently, governments have long regarded energy security as a paramount concern, crucial for ensuring national stability. Energy security, simply put, is defined as “the availability of sufficient supplies at affordable prices.” However, a more contemporary perspective also emphasizes the necessity for long-term sustainability in the supply. This perspective adds a new foundational element—sustainability—to the concept of energy security. Stemming from this premise, two phenomena in the energy sector emerge that could impact international foreign direct investment (FDI) flows. Firstly, the transition from hydrocarbons to renewable sources necessitates substantial investment, wherein foreign investments could play a pivotal role. Secondly, there is an increasing trend of States utilizing FDI for strategic objectives. The acquisition of strategic energy infrastructure by foreign entities is now perceived as a risk to the energy supply security of nations. Consequently, several States have bolstered their FDI screening mechanisms to assess potential impacts on supply security, infrastructure operation, and national security in general. These two aforementioned phenomena may sometimes conflict. This article aims to analyze the intricate relationship between energy security, energy transition, and foreign investments. The author posits that an overly broad interpretation of national security and the misuse of screening mechanisms could serve as instruments for shielding the domestic economy, potentially undermining the foreign investment legal framework. Such an approach in the energy sector could have a “chilling effect,” leading to a reduction in FDI and impeding the energy transition or the attainment of other energy-related objectives. At the same time, a deep reform of the international investment regime is required, which should go through a modification of International Investment Agreements (IIAs) clauses but also through a more environmentally friendly approach by investment arbitral tribunals. It appears extremely difficult to find a balance between international investment law and environmental/climate change law. In this context, the Energy Charter Treaty (ECT), which has recently undergone a “modernization process,” is assumed to be a test bench. Full article

Restricted by economic and social development conditions and the level of domestic regulatory system construction, the traditional host country-centered regulatory approach makes it difficult to ensure “responsible investment” by overseas farmland investment companies. The jury is still out on whether international law can directly impose obligations and responsibilities on companies. Therefore, it is realistically necessary for the investor’s home country to regulate any behavior that infringes on the human rights and environment of residents of the host country during the company’s overseas farmland investment. We used a panel fixed effects model and the dummy variable method to construct regression indicators based on international treaties. This study finds that promulgating responsible investment treaties can significantly promote the scale and number of international farmland investments, which also further led to the problem of differentiation among overseas farmland investors. We further discussed the lack of binding force of current international rules and the difficulty in coordinating the interests of multiple parties. In the regulatory system of the home country, there are still problems, such as insufficient supply of adequate laws, and lack of administrative guidance. Measures such as deepening negotiations on international rules for responsible overseas farmland investment, further leveraging the role of land ownership in responsible overseas farmland investment, improving existing domestic legislation, and strengthening administrative guidance on overseas farmland investment can be used as countermeasures. Full article