【CFRI 第十三卷 第2期】

CFRI期刊2023年第2期共6篇文章，本期汇聚了来自中国、意大利、越南、突尼斯等国家的多位优秀学者的高质量论文，围绕“基金风格漂移”、“家族所有权与资本结构”、“公司财务结构”、“中国股市”、“波动率预测”等话题进行了深入的研究与探讨。扫描文中二维码可快速下载文章PDF全文，点击文末阅读原文，可以在线查看本期所有文章，感谢您对CFRI的关注与支持！

1

非商业交易商的活动与现货价格之间的溢出效应？原油市场的金融化机制分析

Spillovers between noncommercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market

Antonio Focacci

University of Bologna, Italy

Abstract

The purpose of this study is to analyze the financialization effect on oil prices. The study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology. The results revealed that there was no effect on oil prices. To the best of the author’s knowledge, this is the first paper combining the multibreak point analysis with VAR for the period analyzed in the present work.

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2

基金风格漂移与股价崩盘风险——基于公司财务风险的中介效应分析

Fund style drift and stock price crash risk – analysis of the mediating effect based on corporate financial risk

Yanlin Sun

Jilin University, China

Siyu Liu

Jilin University, China

Shoudong Chen

Jilin University, China

Abstract

This paper aims to identify the direct impact of fund style drift on the risk of stock price collapse and the intermediary mechanism of financial risk, so as to better protect the interests of minority investors. The paper takes all the non-financial companies on the Chinese Growth Enterprise Market from 2011 to 2020 as study object and selects securities investment funds of their top ten circulation stocks to study the relationship between fund style drift and stock price crash risk. The results show that fund style drift is likely to add stock price crash risk. Financial risk is positively correlated with stock price crash risk. Fund style drift affects stock price crash risk via the mediating effect of financial risk, and fund style drift and financial risk have a marked impact on the stock price crash risk of non-state enterprises, yet a non-significant impact on that of state-owned enterprises. This paper links fund style drift with stock price crash risk in an exploratory manner and enriches the study perspectives of relationship between institutional investors’ behaviors and stock price crash risk, thus enjoying certain academic value.

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3

家族所有权与资本结构：来自东盟国家的证据

Family ownership and capital structure: evidence from ASEAN countries

Trang Khanh Tran

FPT University, Vietnam

Lan Thi Mai Nguyen

VinUniversity, Vietnam

Abstract

This paper examines the capital structure decisions of family firms in Southeast Asian (ASEAN) countries, considering the moderating effects of various firm-level and country-level factors. The authors apply various panel data models to analyze the data of listed firms in six ASEAN countries over the period of 2007-2017. The authors find that family firms tend to use more debt, particularly short-term debt, than non-family firms, which is explained by family owners' concern about the risk of losing control. The authors further document that family firms would use more debt when they have lower ownership concentration, have more family members on the board of directors and are young firms. The authors also find that the impact of family ownership on capital structure is moderated by the level of investors' legal protection of a country. This study, for the first time, provides comprehensive analyses of the financing decisions of family firms in ASEAN using a unique hand-collected dataset, which highlights that regional culture and market conditions can shape family firms' financing decisions.

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4

或有可转换债务、风险债务和多种增长选择的公司财务结构

Firms' financial structure with contingent convertible debt, risky debt and multiple growth options

Ons Triki

University of Sfax, Tunisia

Fathi Abid

University of Sfax, Tunisia

Abstract

This paper models the value of the firm in the presence of contingent capital and multiple growth options over its life cycle in a stochastic universe to ensure financial stability and recover losses in case of default. In addition, it illustrates how contingent convertible (CoCo) bonds as financial instruments impact the leverage-ratio policies, inefficiencies generated by debt overhang and asset substitution for a firm that has multiple growth options. The current paper elaborates the modeling of a dynamic problem with respect to the interaction between funding and investment policies during multiple sequential investment cycles simultaneously with dynamic funding. The results show that inefficiencies related to debt overhang and asset substitution can go down with a higher conversion ratio and a larger number of growth options.  Additionally, the authors’ analysis reveals that the firm systematically opts for conservative leverage to minimize the effect of debt overhang on decisions so as to exercise growth options in the future.  However, the capital structure of the firm has a substantial effect on the leverage ratio and the asset substitution.

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5

百度指数真的能预测中国股市波动吗?来自互联网信息的新证据

Is Baidu index really powerful to predict the Chinese stock market volatility New evidence from the internet information

Qiaoqi Lang

Southwest Jiaotong University, China

Jiqian Wang

Southwest Jiaotong University, China

Feng Ma

Southwest Jiaotong University, China

Dengshi Huang

Southwest Jiaotong University, China

Mohamed Wahab Mohamed Ismail

Ryerson University, Canada

Abstract

This paper verifies whether popular Internet information from Internet forum and search engine exhibit useful content for forecasting the volatility in Chinese stock market. First, the authors’ study commences with several HAR-RV-type models, then the study amplifies them respectively with the posting volume and search frequency to construct HAR-IF-type and HAR-BD-type models. Second, from in-sample and out-of-sample analysis, the authors empirically investigate the interpretive ability, forecasting performance (statistic and economic). Third, various robustness checks are utilized to reconfirm the authors’ findings, including alternative forecast window, alternative evaluation method and alternative stock market. Finally, the authors further discuss the forecasting performance in different forecast horizons (h = 5, 10 and 20) and asymmetric effect of information from Internet forum. From in-sample perspective, the authors discover that posting volume exhibits better analytical ability for Chinese stock volatility than search frequency. Out-of-sample results indicate that forecasting models with posting volume could achieve a superior forecasting performance and increased economic value than competing models. These findings can help investors and decision-makers obtain higher forecasting accuracy and economic gains.

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6

VPIN是否为实现波动率预测提供了预测信息：来自中国股指期货市场的证据

Does VPIN provide predictive information for realized volatility forecasting: evidence from Chinese stock index futures market

Conghua Wen

Xi'an Jiaotong-Liverpool University, China

Fei Jia

Xi'an Jiaotong-Liverpool University, China

Jianli Hao

Xi'an Jiaotong-Liverpool University, China

Abstract

Using intraday data, the authors explore the forecast ability of one high frequency order flow imbalance measure (OI) based on the volume-synchronized probability of informed trading metric (VPIN) for predicting the realized volatility of the index futures on the China Securities Index 300 (CSI 300). The authors employ the heterogeneous autoregressive model for realized volatility (HAR-RV) and compare the forecast ability of models with and without the predictive variable, OI. The empirical results demonstrate that the augmented HAR model incorporating OI (HARX-RV) can generate more precise forecasts, which implies that the order imbalance measure contains substantial information for describing the volatility dynamics. The study sheds light on the relation between high frequency trading behavior and volatility forecasting in China's index futures market and reveals the underlying market mechanisms of liquidity-induced volatility.

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  关于CFRI  

China Finance Review International (CFRI) 作为上海交通大学安泰经济与管理学院创办的一本反映经济金融最前沿研究成果的全英文学术期刊，从创刊至今稳步发展。目前CFRI期刊已被二十多个权威数据库收录：Scopus、Web of Science 、ABI、CNKI、Google Scholar、Cabell's Dictionary、ProQuest、EBSCO、Summon、RePEc、Econlit，进入ABDC和Association of Business Schools' (ABS) Academic Journal Guide等一系列评级列表。目前期刊在Web of Science中的模拟影响因子为7.28；期刊在Scopus数据库中的实时CiteScore为6.8；2020年和2022年期刊均入选FMS管理科学高质量期刊列表。欢迎广大作者投稿，感谢大家对CFRI一路以来的关注和支持！

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