COVID-19, government policy responses,and stock market liquidity around the world: A note

Unprecedented non-pharmaceutical interventions targeted to curb the spread of COVID-19 exerted a dramatic impact on the global economy and financial markets. This study is the first attempt to investigate the influence of these government policy responses on global stock market liquidity. To this end, we examine daily data from 49 countries for the period January-April 2020. We demonstrate that the impact of the interventions is limited in scale and scope. Workplace and school closures deteriorate liquidity in emerging markets, while information campaigns on the novel coronavirus facilitate trading activity.     

全球金融监管的托宾税视角

金融全球化进程中,加强金融监管必不可少,其中托宾税就是理论和实践关注的热点之一。托宾税是对全球货币交易征税,其目标是追求市场稳定、效率及保持各国货币政策的独立性。它是引领国际金融走向公平、公正与民主的路径,其巨大的税收收入可用以解除世界贫困。两级托宾税制能有效控制资本的过度流动,并具有可操作性。托宾税思想超越了传统经济学理论,如果国际社会能就具体问题早日达成共识,必将开创国际金融监管的新格局。     

Do low-carbon investments in emerging economies pay off? Evidence from the Brazilian stock market

Climate change has created both challenges and opportunities for investors worldwide. Investing in carbon-efficient assets, for instance, may reduce investors' climate risks while contributing to global efforts for climate change mitigation. Investors need updated and robust information on the financial performance of low-carbon investments, especially in emerging markets, where climate finance initiatives are still scattered. In this work, we provide a first insight into the financial performance of a portfolio of shares from Brazilian carbon-efficient companies. To that end, we use as reference the Carbon Efficient Index (ICO2) and assess its financial performance from 2010 to 2019 through the lens of several classic and modern portfolio metrics. We find that the index outperformed both the Brazilian market benchmark and the country's broad sustainability index, and provided competitive risk-adjusted returns compared with other sectorial indices. The results thus indicate that investing in carbon-efficient companies in Brazil has so far positively contributed to portfolio performance while offering investors an opportunity to reduce climate risk exposure in stock markets.     

Financial Integration of Large- and Small-Cap Stocks in Emerging Markets

This study examines the financial integration of large- and small-cap stocks in twenty-three emerging markets to determine their degree of market integration with the world market. The international asset pricing model cannot be rejected for most large-cap stock portfolios, but it is rejected for small-cap stock portfolios. The findings also demonstrate that super-large-cap stocks have the fewest pricing errors and their global financial integration has increased in recent years. In sum, the empirical results indicate that global market integration is primarily associated with the super-large-cap stocks of large emerging markets.     

Intelligent finance—an emerging direction

Intelligent finance represents a new direction recently emerging from the confluence of several distinct disciplines in financial market analysis, investing and trading, removing any historical or artificial barrier between them. It is conceived as the science, technology and art of the comprehensive, predictive, dynamic and strategic analysis of global financial markets, towards a unification and integration of academic finance and professional finance. As a comprehensive approach, it is a quest for absolute positive and non-trivial returns in investing and trading by exploiting complete information about financial markets from all general perspectives, drawing ideas, theories, models and techniques from many related academic disciplines, such as macroeconomics, microeconomics, academic finance, financial mathematics, econophysics, behavioural finance and computational finance, and from professional schools of thought, such as macrowave investing, trend following, fundamental analysis, technical analysis, mind analysis, active speculation, etc. In terms of risk management, intelligent finance is expected to minimize the very last risk—the incompleteness of an investing or trading method or system. The theoretical framework of intelligent finance consists of four major components: financial information fusion, multilevel stochastic dynamic process models, active portfolio and total risk management, and financial strategic analysis. We first provide the background from which intelligent finance has recently emerged as a new direction in finance research and industry, and then provide a brief theoretical review of the predictability of financial markets since Bachelier. After these background discussions, we clarify the major research directions of intelligent finance.     

Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises

This paper examines price linkages among Asian equity markets in the period surrounding the recent Asian economic, financial and currency crises. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. Multivariate cointegration and level VAR procedures are conducted to examine causal relationships among these markets. The results indicate that there is a stationary relationship and significant causal linkages between the Asian equity markets. Nevertheless, lower causal relationships that exist between the developed and emerging equity markets suggest that opportunities for international portfolio diversification in Asian equity markets still exist.     

新兴市场国际资本逆转问题的观察与分析

席卷全球的金融危机改变了国际资本流入新兴市场的既定状况。由于世界范围内的信贷严重紧缩和美元的高调升值,形成了金融资本大规模撤离新兴市场国家的新现象。这一资本逆转的结果不仅可能加大新兴市场国家货币的贬值压力,冲击和干扰其本已脆弱的金融体系,而且势必打击该区域实体产业和既有福利。国际社会应当从加强监管、密切金融合作和消除贸易保护主义等方面尽可能阻止金融资本撤离新兴市场的进程和规模。     

我国区域金融非均衡发展问题研究

随着我国经济发展进入新常态阶段,区域金融发展非均衡性趋势愈发明显,当前应加强宏观层面顶层设计的实际作用,促进各省级单位的金融合作,完善各区域金融协调发展的合作制度,从而推动我国金融系统在政策制度方面逐步完善.在各省区经济差异逐年扩大的实际情况下,应该积极促进各区域金融主体的多元化发展,拓宽交易双方的范围,增加交易角色,...     

跨境金融:驱动因素、结构特征与未来路径

跨境金融的驱动因素和结构特征是理论界和实务界关注的重要话题。在当前复杂的国际经济金融形势下,厘清全球跨境金融的规律特征,对我国更好地利用“两个市场、两种资源”,防范外部金融风险具有重要意义。2008年国际金融危机以来,在经济周期、全球流动性、金融结构和监管政策等驱动因素的影响下,全球跨境金融活动呈现规模下降、结构调整、流向分化、主体切换和风险变化等特征。同时,银行跨境业务呈现综合化趋势,数字化转型提速,经营稳健性明显增强。我国跨境金融规模稳步增长,对国际收支的影响持续增强,在全球资金循环中的份额不断提高。未来,随着我国经济转型和对外开放步伐的加快,跨境金融的规模和结构还将发生深刻变化,风险日趋复杂。应引导形成与我国经济金融发展特征相匹配的跨境资金结构,平衡扩大开放与风险防控的关系,充分发挥银行业在跨境金融领域的“比较优势”。     

全球股票市场间风险传染的测度、监管及预警

近年来,伴随金融一体化程度的加深,全球各股票市场间风险传染的动态复杂性加剧,其准确测度、高效监管及实时预警已成为优先事项。本研究选取全球21个代表性股票市场作为分析样本,首先基于广义向量自回归模型的滚动估计准确测度其间风险动态传染的高维网络序列,进一步借由矩阵值因子模型来稳健收缩上述序列,以探究其潜在动态核心结构,从而实现高效监管。最后,通过向量自回归模型的预测功能实现对全球股票市场间风险传染的实时预警。研究表明,全球股票市场间风险传染具有时变性,其监管与预警可通过少数与地理区域高度相关的风险区域间的动态传染关系及内部的市场构成来刻画。与此同时,我们发现中国内地等新兴市场的重要地位逐渐凸显。本文研究结论可为有效防范与化解金融风险提供有益参考。     

Financial Econometrics, Financial Innovation, and Financial Stability

Innovation in financial markets, spurred to a significant extentby developments in finance theory and financial econometrics,has played a critical role in spurring economic growth. However,the current turmoil in financial markets raises fundamentalquestions about the nature of financial innovation and the roleof policymakers in maintaining financial stability. This paperexplores these questions, focusing on the complexities of modelingfinancial risk and the potential trade-off between policiesaimed at combating short-run financial instability on the onehand and the potential financial market distortions and moralhazard that can result from such policies on the other.     

全球股票市场间风险传染的测度、监管及预警

近年来,伴随金融一体化程度的加深,全球各股票市场间风险传染的动态复杂性加剧,其准确测度、高效监管及实时预警已成为优先事项。本研究选取全球21个代表性股票市场作为分析样本,首先基于广义向量自回归模型的滚动估计准确测度其间风险动态传染的高维网络序列,进一步借由矩阵值因子模型来稳健收缩上述序列,以探究其潜在动态核心结构,从而实现高效监管。最后,通过向量自回归模型的预测功能实现对全球股票市场间风险传染的实时预警。研究表明,全球股票市场间风险传染具有时变性,其监管与预警可通过少数与地理区域高度相关的风险区域间的动态传染关系及内部的市场构成来刻画。与此同时,我们发现中国内地等新兴市场的重要地位逐渐凸显。本文研究结论可为有效防范与化解金融风险提供有益参考。     

Lessons from the financial crisis: failure of markets or failure of regulation?

The popular, demagogic narrative after the global financial system's collapse in 2008 has held that the financial crisis signalled the failure of capitalism. However, regulators across the world must realize that the financial crisis was not brought about by the failure of markets but by the failure of governments to appropriately regulate markets. Beginning in the 1980s, and continuing over the quarter-century that followed, regulators afforded the world of big finance an unaffordable luxury: insurance against possible failure. As a result, banks and financial institutions became adept at turning their insulation from disorderly failure, as enforced by free markets, into insulation from market discipline, as inflicted by myopic regulators. This ‘too big to fail’ syndrome combined with the incorrect belief perpetrated by the Federal Reserve Chairman Alan Greenspan that financial companies, powered by a rational motive not to lose money, could police themselves and one another. In turn, such sanguine beliefs led to considerable over-supply of financial innovation. The supply created its own demand as the financial world operated under the implicit guarantee (and market distortion) created by the ‘too big to fail’ syndrome.

The errors laid bare by the financial crisis clearly call for regulatory reform. But in designing that reform, regulators across the world should avoid the temptation to seek heavy-handed new approaches. Instead, policymakers should look to the long-term success of the system of rules whose decay brought about the crisis. Prudent regulations must seek to reinforce the fundamental principle that no one, however big or small, can be made immune to failure. Such pro-market regulation of finance is essential to preserving and fostering countries’ economic futures.     

Foreign Investment in Emerging Markets: International Diversification or Familiarity Bias?

This study empirically tests whether foreign investors take advantage of international diversification when investing in emerging Asian markets. Using the 2007–2008 financial crisis as identification, we find that firms with higher foreign ownership had better stock returns during the financial crisis. Moreover, the diversification effect exists in five out of the eight emerging markets and is stronger in markets with a lower dynamic conditional correlation with the global market index. We also find that foreign investors prefer firms with a lower international sales ratio. In conclusion, the evidence consistently suggests that foreign investors take advantage of diversification effects.     

Rapid Credit Growth in Emerging Markets: Boon or Boom-Bust?

Episodes of rapid credit growth, especially credit booms, tend to end abruptly, typically in the form of financial crises. This paper presents the findings of a comprehensive event study focusing on sixty credit booms across emerging markets. The build-up of credit booms across emerging markets seems to be characterized by loose monetary policy stances, with domestic policy rates below trend during the prepeak phase of credit booms. While credit booms are associated with episodes of large capital inflows, international interest rates (a proxy for global liquidity) are virtually flat during these periods. Therefore, although external factors such as global liquidity conditions matter, and possibly increasingly so over time, domestic factors (especially monetary policy) also appear to be tightly associated with real credit growth across emerging markets.     

论金融科技的穿透式监管

金融科技作为信息技术驱动的金融创新,正改变金融市场格局。但伴随金融与科技深度融合,综合性的金融主体、技术泛化的金融产品与异化的金融权利却诱致复杂的金融风险。由于传统金融监管在应对上述风险时存在对象错配、方式滞后与机制失效的局限,穿透式监管成为回应现实需求的最佳选择。金融科技的穿透式监管应坚持以实质重于形式为核心,突出对金融数据、内置算法与金融科技机构的多向穿透,并遵循适应性原则、系统性原则与比例原则指导具体监管实践。在实践中,金融监管层不仅应利用智能化、嵌入式的监管科技和全面、严格的信息披露刺破金融科技的复杂结构,还应搭建统一的监管协调体系、制定详尽的监管规范、划定主体的责任边界,以落实穿透式监管理念,提高金融科技监管有效性。     

Taper Tantrum and Emerging Equity Market Slumps

In the post-global financial crisis period, the central banks of the advanced economies pursued unconventional monetary policies, such as the United States (U.S.) Federal Reserve’s quantitative easing (QE). Those policies and their unwinding may significantly affect cross-border capital flows and thus destabilize the financial systems of emerging markets. For example, emerging markets experienced substantial financial instability during the taper tantrum triggered by U.S. Federal Reserve Chairman Ben Bernanke’s May 2013 announcement of the potential unwinding of QE. In this article, we examine the spillovers from the taper tantrum on emerging markets more rigorously by using econometric analysis to empirically assess the effect on equity markets in emerging markets. Our central finding that virtually all emerging-market equity markets were affected by the taper tantrum highlights the need for emerging-market authorities to remain vigilant about the effects of advanced-economy monetary policies on their financial stability.     

Financial development and the allocation of external finance

We examine whether financial markets development facilitates the efficient allocation of resources. Using European micro-level data for 1996-2005, we show that firms in industries with growth opportunities use more external finance in financially more developed countries. This result is particularly strong for firms that are more likely to be financially constrained and dependent on domestic financial markets, such as small and young firms. Our findings are robust to controlling for technological determinants of external finance needs and to using different proxies for growth opportunities. Interestingly, the explanatory power of the measures of technological determinants identified in prior work decreases significantly once growth opportunities are controlled for.     

Are related-party transactions beneficial or detrimental in emerging markets? New evidence of financial services agreements from China

This paper examines a new and underexplored form of related-party transactions in which Chinese listed companies sign financial services agreements with affiliated finance companies within the same business group. With FSAs, listed companies can readily finance through internal capital markets. However, some concerns controlling shareholders can use FSAs to embezzle funds of listed companies legitimately, thereby expropriating the wealth of minority shareholders. Using a staggered difference-in-differences model with fixed effects, we empirically examine the economic consequences of FSAs. We document that FSAs are detrimental to listed companies' market valuation and operating performance. This phenomenon mainly concentrates on companies without financial constraints and those with lower bankruptcy risks. Further analysis shows that sound corporate governance could inhibit the signing of FSAs ex-ante. This paper contributes to the literature on the economic consequences of related-party transactions in emerging markets. It also provides empirical support that the internal capital market of business groups in China is inefficient and offers controlling shareholders opportunities for tunneling.     

Exchange rate volatility across financial crises

This paper studies the impact of global financial turmoil on the exchange rate policies in emerging countries. Spillovers from advanced financial markets to currencies in emerging countries are likely to be exacerbated during crisis periods. To test this hypothesis, we assess the exchange rate policies by currencies’ volatility and investigate their relationship to a global financial stress indicator, measured by the volatility on global markets. We introduce the possibility of nonlinearities by running smooth transition regressions over a sample of 21 emerging countries from January 1994 to September 2009. The results confirm that exchange rate volatility does increase more than proportionally with the global financial stress, for most countries in the sample. We also evidence regional contagion effects spreading from one emerging currency to other currencies in the neighboring area.