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SSRN 2024年

作者： Chen, Yan Luo, Qiong Bouri, Elie Lebanon Business School Hunan University Changsha410082 China Key Laboratory of High-Performance Distributed Ledger Technology and Digital Finance Hunan University China School of Business Lebanese American University Lebanon

The Chinese energy market has entered a new critical phase of evolution under the carbon neutrality goals and ongoing reforms, fundamentally transforming its operation and price mechanism and potentially adding complexity to its system. This study analyzes the network structure and inherent interconnections among Chinese energy firms and their effects on energy stock returns. Accordingly, a high-dimensional network is constructed based on publicly traded data of 191 Chinese listed energy firms operating in multiple segments of the energy sector, which cover both brown energy and renewable energy sources and a dynamic network quantile regression (DNQR) model is used to evaluate the effect of relevance network on energy returns across various market conditions. The findings reveal the following: (1) The energy market is highly interconnected, exhibiting a clustering pattern consistent with industry segments. Gas plays a pivotal role in linking various industries, showing strong connections with multiple segments within the coal and petroleum sectors. (2) Public utilities, particularly electricity and gas, hold considerable systemic importance. Traditional energy sectors, such as thermal power, exert significant influence, underscoring the pressing need for accelerated development in non-fossil energy sources. (3) The contemporaneous network effect exerts a positive and dominant influence on energy stock returns, displaying asymmetry and tail behavior. Particularly, larger effects are observed in the upper quantiles that correspond to market prosperity and relative stability. These findings provide important insights into the performance and price formation mechanism of China’s energy market during key periods of energy policy proposal and implementation, offering valuable reference points for both economic practices and policy formulation. © 2024, The Authors. All rights reserved.

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Unveiling the asymmetric dynamic spillovers in industry bond credit risk: Is the energy industry the prime mover?

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INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 2025年 101卷

作者： Ren, Yi-Shuai Klein, Tony Jiang, Yong Hunan Univ Sch Publ Adm Changsha Peoples R China Hunan Univ Key Lab High Performance Distributed Ledger Techno Minist Educ Changsha Peoples R China Hunan Univ Res Inst Digital Soc & Blockchain Changsha Peoples R China Hunan Univ Ctr Resource & Environm Management Changsha Peoples R China Nanjing Audit Univ Sch Finance Nanjing Peoples R China

This study employs a novel asymmetric time-varying parameter vector autoregressive (TVP-VAR) based connectedness approach to examine the dynamic return connectedness between industry bond credit spreads in China. This study specifically focuses on identifying the factors that contribute to connectedness. The empirical findings suggest that (1) the average total connectedness index (TCI) remains consistently high throughout the period, with particularly noteworthy surges during crises such as the COVID-19 epidemic and the Russia-Ukraine war. (2) The TCI for positive returns is greater than that for negative returns for the industry bond credit spread. This confirms that the strength of inter-industry connections grows when there is an increase in credit risk in the bond market. (3) The power and coal industries are net transmitters of credit risk, while the gas and new energy industries are net receivers. This tendency is particularly noticeable in the overall returns and the positive returns spillover systems. (4) The spillover of credit risk in the industry bond market can be attributed to the connections within the supply chain among different industries. Core industries, including transportation, real estate, and non-bank financial industries, typically play a major role as net transmitters, whereas non-core industries usually as receivers. (5) The TCI is heavily influenced by global shocks, such as international oil volatility, global climate transition risk, U.S. economic policy uncertainty, and global geopolitical risks.

关键词： Credit spread Dynamic asymmetric spillover Credit risk Quantile regression Global shock

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Dynamic connectedness between crude oil futures and energy industrial bond credit spread: Evidence from China

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ENERGY ECONOMICS 2025年 143卷

作者： Ren, Yi-Shuai Klein, Tony Jiang, Yong Liu, Pei-Zhi Weber, Olaf Hunan Univ Sch Publ Adm Changsha Peoples R China Hunan Univ Key Lab High Performance Distributed Ledger Techno Minist Educ Changsha Peoples R China Hunan Univ Res Inst Digital Soc & Blockchain Changsha Peoples R China Hunan Univ Ctr Resource & Environm Management Changsha Peoples R China Nanjing Audit Univ Sch Finance Nanjing Peoples R China China Tobacco Corp Hunan Branch Changsha Peoples R China York Univ Schulich Sch Business Toronto ON Canada

This study utilizes a connectedness approach that is based on the quantile vector autoregressive model to analyze the level of connectedness between China's crude oil future market (INE) and the energy industrial bond credit spread across various markets. The findings of our study indicate that (1) The total connectedness index (TCI) exhibits a U-shaped pattern that changes according to conditional quantiles. This suggests that the spillover between the energy industry bond market and oil futures market is greater during extreme market conditions (bullish and bearish markets) compared to normal markets;(2) The TCI increased in size and volatility during the COVID-19 pandemic and the Russia-Ukraine conflict;(3) The electricity sector consistently transmits shocks, whereas INE consistently receives them, irrespective of the market states;(4) The credit risk of the energy sector has a significant impact on INE, particularly in bullish and bearish markets, while the former has a little impact on the latter. The coal and electricity sectors are the primary net spillover transmitters for INE in both bullish and bearish markets. Conversely, the gas sector is the largest net spillover transmitter for INE in a typical market. Lastly, our research offers novel perspectives on the information-sharing channels for the energy sector's bonds and oil futures markets, which could assist traders and investors in making more informed investment decisions.

关键词： Shanghai crude oil future Bond credit spread Dynamic connectedness Energy industry China

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Through the looking glass: Unveiling geopolitical risks and sovereign bond spillovers in the eurozone

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INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 2025年 103卷

作者： Jiang, Yong Klein, Tony Ren, Yi-Shuai Dai, Jia-Hang Nanjing Audit Univ Sch Finance Nanjing Peoples R China Tech Univ Chemnitz Fac Business & Econ Chemnitz Germany Hunan Univ Sch Publ Adm Changsha Peoples R China Hunan Univ Key Lab High Performance Distributed Ledger Techno Minist Educ Changsha Peoples R China Hunan Univ Res Inst Digital Soc & Blockchain Changsha Peoples R China Hunan Univ Ctr Resource & Environm Management Changsha Peoples R China Univ Auckland Energy Ctr 12 Grafton Rd Auckland 1010 New Zealand

This study introduces a novel time-varying parameter vector autoregressive (TVP-VAR) frequency connectedness approach for measuring the frequency transmission mechanism and dynamic spillovers among the sovereign bond markets of 13 Eurozone countries. Furthermore, the impact of global geopolitical risk (GPR) on the spillovers is examined through a time-varying Granger causality test. The results reveal strong spillovers in the Eurozone over time, especially since the spillover is predominantly driven by the short-term frequency domain. Besides, an asymmetry exists in the spillover effects between positive and negative returns, with spillovers being more pronounced for positive ones. The predictivity of geopolitical threats (GPRT) and geopolitical acts (GPRA) show significant time heterogeneity, particularly in response to specific extreme geopolitical risk events. Additionally, GPR, GPRT, and GPRA can significantly predict the spillovers for aggregate market return, specifically for positive ones, but it does not hold for negative returns (except for a temporary predictive capacity during COVID-19 of 2020). Finally, the Russia-Ukraine conflict predominantly influences sovereign bond market return spillovers through GPRT.

关键词： Geopolitical risks Sovereign bond Dynamic spillover Frequency domain Eurozone countries

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Monetary policy uncertainty and green investment decisions: A cross-national spillover perspective

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INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 2024年 96卷

作者： Ren, Yi-Shuai Klein, Tony Jiang, Yong Hunan Univ Sch Publ Adm Changsha Peoples R China Hunan Univ Minist Educ Key Lab High Performance Distributed Ledger Techno Changsha Peoples R China Hunan Univ Res Inst Digital Soc & Blockchain Changsha Peoples R China Hunan Univ Ctr Resource & Environm Management Changsha Peoples R China Univ Auckland Energy Ctr 12 Grafton Rd Auckland 1010 New Zealand Tech Univ Chemnitz Fac Business & Econ Chemnitz Germany Nanjing Audit Univ Sch Finance Nanjing Peoples R China

This study utilizes panel data of Chinese A-share listed companies from 2008 to 2020 to explore whether and how the United States' (US) monetary policy uncertainty (MPU) affects the green investors' entry (GIE) into a firm in China. The results indicate that US MPU has a significant negative impact on the GIE in China. This finding holds true even after a series of tests for endogeneity and analyses to confirm its robustness. Mechanism analysis reveals that US MPU primarily reduces the ability of Chinese companies to attract green investors by increasing the corporate default risk and financing constraints, as well as diminishing corporate competitiveness. Further heterogeneity analysis shows that US MPU has a more significant negative impact on GIE for enterprises in the declining phase, for non-state-owned firms, and for non-heavy pollution industry firms. The conclusion of this study suggests that governments and companies should consider and value the role of the US MPU when attracting green investors.

关键词： Monetary policy uncertainty Green investor entry Financing constraint Corporate default risk Corporate competitiveness

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The Effects of Top Management Team R&D Functional Background on Corporate Social Responsibility: Detrimental or Beneficial in Family Firms?

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International Journal of finance and Economics 2025年第0期

作者： Ren, Yi-Shuai Elommal, Najoua Kong, Xiaolin Liu, Xukang School of Public Administration Hunan University Changsha China Key Laboratory of High-Performance Distributed Ledger Technology and Digital Finance (Hunan University) Ministry of Education Hunan China Research Institute of Digital Society and Blockchain Hunan University Hunan China Center for Resource and Environmental Management Hunan University Hunan China The Energy Centre University of Auckland Auckland New Zealand ISTEC Business School Paris France School of Digital Economics Jiangxi University of Finance and Economics Nanchang China Business School Hunan University Changsha China

This study investigates the influence of TMT R&D functional background on corporate social responsibility (CSR), using data from Chinese-listed family firms from 2010 to 2020. The results demonstrate that the CSR performance of family firms is negatively influenced by the R&D functional background of TMT. These conclusions continuously demonstrate robustness following endogeneity and robustness tests. Furthermore, the primary channels via which the TMT R&D functional background influences CSR performance are digital transformation and family control channels. The TMT R&D functional background exerts a more significant adverse impact on CSR in family firms with multiple shareholding or actual controllers not serving as the chairman or general manager. © 2025 John Wiley & Sons Ltd.

关键词： corporate governance corporate social responsibility digital transformation family firms R&D functional background top management team

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Global geopolitical risk and corporate ESG performance

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JOURNAL OF ENVIRONMENTAL MANAGEMENT 2024年 370卷 122481页

作者： Jiang, Yong Klein, Tony Ren, Yi-Shuai Duong, Duy Nanjing Audit Univ Sch Finance Nanjing Peoples R China Tech Univ Chemnitz Fac Business & Econ Chemnitz Germany Hunan Univ Sch Publ Adm Changsha Peoples R China Hunan Univ Key Lab High Performance Distributed Ledger Techno Minist Educ Changsha Peoples R China Hunan Univ Res Inst Digital Soc & Blockchain Changsha Peoples R China Hunan Univ Ctr Resource & Environm Management Changsha Peoples R China Univ Auckland Energy Ctr 12 Grafton Rd Auckland 1010 New Zealand Univ Econ Ho Chi Minh City Ho Chi Minh City Vietnam

This study investigates whether and how the global geopolitical risk (GPR) impacts the environmental, social, and governance (ESG) performance of Chinese enterprises utilizing panel data of Chinese A-share listed enterprises from 2011 to 2020. The findings show that enterprises' ESG performance is negatively impacted by the global GPR. According to heterogeneity analysis, the global GPR has a more detrimental effect on ESG performance in non-state-owned enterprises, enterprises in the decline period, enterprises with higher institutional investor shareholdings, and enterprises without political connections. Additional mechanism analysis reveals that global GPR primarily weakens Chinese enterprises' ESG performance by increasing their financing constraints and reducing competitiveness. . In conclusion, our main findings are still valid after addressing endogeneity-related concerns and doing robustness tests.

关键词： Geopolitical risk ESG performance Corporate governance China

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