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    Essays on sustainability, corporate disclosure, and economic uncertainty : a thesis presented in fulfilment of the requirement for the degree of Doctor of Philosophy in Finance at Massey University, Manawatu Campus, New Zealand
    (Massey University, 2025-07-24) Huang, Kai
    This thesis consists of three essays. Essay one investigates the relationship between accounting conservatism, specifically bad news timeliness, and corporate environmental disclosure. This study identifies a significant negative relationship between the timeliness of bad news disclosure and corporate environmental disclosure. Further analysis indicates that socio-political pressures moderate this relationship. Specifically, while firms generally align with stakeholder preferences by promptly disclosing negative earnings news, those with executives in government-nominated positions tend to increase environmental disclosure due to stronger socio-political pressures. Additionally, the negative association between bad news timeliness and environmental disclosure is weaker among heavy polluters, who face stricter environmental regulations. This study underscores how top management strategically handles the disclosure environmental information. Essay two explores the impact of oil price uncertainty (OPU) on corporate green innovation disclosure behaviour. Drawing on textual analysis of annual and social responsibility reports from Chinese listed companies, the study constructs an innovative measure of green innovation disclosure intensity. It identifies a significantly positive relationship between oil price volatility and the level of green innovation disclosure, suggesting that firms respond to energy uncertainty by enhancing transparency about their environmental sustainability. Robustness checks and endogeneity analyses confirm these findings. Furthermore, the analysis reveals that firm-level characteristics, such as environmental performance, legitimacy demands, and political connections, moderate this relationship. The positive effect is amplified in firms exposed to higher regional environmental regulation intensity and market-based green initiatives. This essay contributes to the growing literature on corporate sustainability by demonstrating the role of energy uncertainty in shaping corporate transparency in green innovation. Essay three examines the interplay between firms oil price uncertainty sensitivity and corporate green innovation in the context of geopolitical tensions. Using a unique measure of firm-level geopolitical tensions derived from destination country-firm data in the China Customs Dataset, the study finds that firms more exposed to OPU are more likely to engage in green innovation. Geopolitical tensions significantly amplify this relationship, with tensions originating from supplier countries further amplifying the urgency for green innovation efforts. Additional analyses reveal that domestic supply chain alliances and improved supply chain efficiency reduce urgency of green innovation when facing heightened uncertainties. Moreover, we find that the interacted impacts of OPU exposure and geopolitical tensions on green innovation are more pronounced in firms with higher international exposure, lower government subsidies, and greater competitive pressures. This essay underscores the influence of external shocks, such as energy and geopolitical crises, in driving firms toward sustainable innovation strategies.
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    Digital currency development and the impact of central bank digital currency on international and national settlement systems : a thesis presented in fulfilment of the requirement for the degree of Doctor of Philosophy in Finance at Massey University, Manawatu Campus, New Zealand
    (Massey University, 2025) Zeng, Linshan
    This thesis consists of three essays on digital currency, with a particular focus on central bank digital currencies (CBDCs). These essays progressively narrow in focus, starting with a broad overview of digital currency research, then moving to an empirical investigation of global CBDC practices, and finally, narrowing the scope to explore an in-depth case study of China's CBDC and its global implications. Essay one provides a comprehensive review of the evolution of digital currency, focusing on two primary categories: private sector digital currencies, represented by Bitcoin and Ethereum, and central bank digital currencies. This literature survey suggests that the future viability of private digital currencies is increasingly constrained by regulatory hurdles, market volatility, and their inadequacies as stable stores of value and mediums of exchange. Meanwhile, CBDCs are emerging as a predominant trend in the digital currency landscape, exhibiting broader application potential. By investigating the potential benefits and challenges associated with CBDCs, this study suggests that there is a critical need for global consensus and cooperation in the development and framework construction of digital currencies. Essay two assesses the potential influence of CBDCs development on currency’s invoicing capability in international trade. Based on the theories of firms' profit maximization, trade elasticity and sticky prices, this study constructs a model of currency invoicing power, including CBDC announcement year as the shock for moderating effect. Utilizing a sample of the top 50 countries, covering the period from 2005 to 2022, this study finds that the development signal of a country’s CBDC significantly strengthens the exchange rate pass-through, suggesting an enhanced II currency invoicing power, and this effect is even stronger in countries that have piloted CBDC programs. Mechanism analyses reveal that the currency invoicing power improved through reducing exchange rate volatility and increasing currency liquidity in international foreign exchange market. These effects make the currency a more attractive choice for international invoicing. Our research may provide insights for policymakers that promoting and accelerating the development of CBDCs can promote the use of national currencies in international trade, as well as improving national currency internationalization. Essay three examines the conditions and impediments for the implementation the digital Chinese currency (called e-CNY) in China, where a rapidly evolving digital payment landscape coexists with traditional currency transactions. Utilizing provinciallevel panel data from 2011 to 2021, this study analyzes the potential impacts of "Breadth of Digitization Coverage" and "Digitization Level" on the supply and demand dynamics of e-CNY within the framework of digitalization development. The findings reveal that an increase in digitization correlates with a reduction in the supply and demand for physical currency, indicating that digitalization has paved the way for adopting e-CNY. Further analyses reveal that the penetration of smartphones and the growth of e-commerce have been instrumental in broadening digitalization coverage and the level of digitization. The study foresees that despite the digitalization of wallets and payment scenarios has laid a solid foundation for implementing the e-CNY, establishing an efficient and secure e-CNY payment ecosystem will still require a development period of several years.
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    Essays on financial risk modelling : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance, School of Economics and Finance, Massey University, Auckland, New Zealand
    (Massey University, 2024-08-08) Nguyen, Thao Thac Thanh
    In today’s highly interconnected financial landscape, the risk of shock spillover is a critical factor contributing to increased systemic risk and impacting the global financial stability. Research on spillover effects has gained significant attention from both academics and practitioners. This thesis aims to contribute to this strand of the literature by conducting three studies that employ a variety of connectedness methods to investigate several underexplored issues within the field of financial risk management. These essays delve further into the evolution of these spillover effects during times of extreme financial uncertainty and aim to identify the key drivers of these spillovers. Essay One investigates the high-frequency spillover of volatility shocks across major oil-dependent foreign exchange markets, considering the impact of the oil market’s volatility regime. Essay Two examines the return shock spillover between European sectoral credit default swap and the natural gas markets. This investigation is conducted across different quantiles of return distributions, with a special focus on understanding the effects of the ongoing Russian-Ukrainian war on this spillover. Essay Three scrutinizes spillover effects of inflation shocks under normal economic conditions and extreme inflationary conditions between the U.S. and emerging markets. The essay further unveils the determinants of the inflation spillovers among the sample markets.
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    Three essays on the impact of regulatory changes on firms’ operation : a dissertation presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance, Massey Business School, School of Finance and Economics
    (Massey University, 2023-12-04) Nguyen, Van Phuc
    This dissertation offers an in-depth exploration of how major and cross-country laws, such as anti-collusion, enhanced by a leniency program and the recently emerging free trade agreement, such as the Comprehensive and Progressive Agreement for Trans-Pacific Partnership (CPTPP), influence firms' operational efficiencies and strategies across various contexts. Employing rigorous methodologies, including advanced Difference-in-Differences (DiD) estimators and Propensity Score Matching (PSM-DiD), this research spans multiple countries and time periods to furnish a detailed understanding of regulatory impacts. The first essay investigates the implications of leniency laws on firms' operational efficiency across 64 countries from 1990–2020. Findings reveal that in response to leniency laws, firms adopt a dual strategy: they initially extend credit terms, which pose short-term risks to asset turnover, while also optimizing fixed asset utilization for long-term sustainable growth. The study uncovers considerable heterogeneity in the laws' impact, notably more pronounced in developing economies and within specific cultural frameworks. The study identifies that leniency laws, in particular, affect larger and more profitable firms by leading them to extend more favorable payment terms. Additionally, the laws have a more pronounced impact on developing economies and cultures characterized by specific traits such as low power distance, collectivism, high uncertainty avoidance, and long-term orientation, as outlined by Hofstede (2011). The second essay examines the influence of the CPTPP on Vietnamese firms from 2017–2021, a transformative era where Vietnam pivoted from an agrarian economy to a manufacturing powerhouse where operational efficiency plays a key role (Laiprakobsup & Chorkaew, 2018). This pivotal change, spurred by the “China Plus One” strategy, not only cements Vietnam’s status as a key player in global manufacturing but also warrants an in-depth analysis as to how its competitive labor and production costs, enhanced by a strategic location, contribute to its increasing economic allure. Our study reveals an initial dip in operational efficiency during the first year of the CPTPP, indicating a strategic realignment phase with increased fixed asset investments and trade credit extensions. However, subsequent years saw a substantial recovery in operational efficiency, marking the successful adaptation of the new trade conditions. The CPTPP's effects were particularly pronounced for high profitability, large-sized firms, those listed on HOSE, and, since 2020, those resilient to the impact of COVID-19. Financially constrained firms seek to use the CPTPP for revenue gains and stress relief but remain cautious about major investments due to debt management concerns. Our findings underscore the transformative role of major trade agreements, and the strategic shifts firms employ to harness these opportunities. The third essay explores the influence of the CPTPP on Research and Development (R&D) investment strategies within Japanese firms. The CPTPP's Chapter 18, with its comprehensive intellectual property protections, presents an opportunity for Japan to rejuvenate its innovation sector, especially as the nation seeks to reclaim its status as a technological leader amid a historical decline in patent registrations. The study presents a detailed impact of the CPTPP on R&D activities within Japanese firms. While enhanced intellectual property protections boost R&D investment, this is counterbalanced by opportunities for market expansion. Manufacturing firms aligned with Japan's cultural long-term orientation consistently increase R&D activities, while service-oriented and technology-intensive firms initially scale down, but eventually recover. Financially constrained firms and those with high sales growth exhibit similar, but distinct patterns in R&D investment. All these findings are framed within the Pecking Order Theory and Japan's cultural norms. Collectively, navigating through the intricacies of international industries and cultures, these essays shed light on the strategic adaptations of firms across the globe. They provide a valuable addition to the scholarly conversation and offer practical guidance for decision-makers worldwide.
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    Essays on commodity market uncertainties : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Albany, New Zealand
    (Massey University, 2019) Naeem, Muhammad Abubakr
    This dissertation presents three essays on commodity market uncertainties. Fundamentally, uncertainty relates to a decrease in investment and reduction in the production of goods and services that causes a momentary decline in aggregate output as well as employment. Hence, the increase in uncertainty has a pervasive impact on the aggregate income received by all the factors of production in an economy. In the first study, we measure the daily price uncertainty of 22 commodities and analyze the time and frequency connectedness among them. Applying spillover analysis and network graphs, we find that overall connectedness among commodity uncertainties increase during the global financial crisis (GFC) and the oil price collapse of 2014-16. Network analysis shows more spillover within a specific commodity class, and that precious metals due to less spillover with other commodities may serve as safe-haven during the crisis. The decomposition of the spillover index reveals that commodity markets are more connected in the long-run. The second study builds on the energy – stock nexus by investigating the impact of energy commodity uncertainties on the systematic risk of twelve industries in the US. The dynamic betas indicate that real estate, financials, and basic materials are the high-risk industries. Notably, the systematic risk of the oil and gas sector was significantly affected during the Global Financial Crisis (GFC) and the Shale Oil Revolution (SOR) sub-periods. Our results provide convincing evidence of the positive impact of energy uncertainties on basic material, basic resources, financials, oil and gas, and real estate. On the other hand, we identify the negative impact on consumer goods, consumer services, health care, industrials, and technology industries. Finally, our third study investigates the causal impact of global factors as drivers of transmission between oil and other commodity markets using the commodity uncertainty indexes. We estimate strong bi-directional transmission between oil and metal (agriculture) markets. Our analysis also suggests that oil is a net transmitter to other commodity uncertainties, and this transmission significantly increased during the period of the global financial crisis. The use of linear and nonlinear causality tests indicates that the global factors have a causal effect on the overall connectedness, especially on the total transmission from oil to other commodity uncertainties. Further segregation of transmissions between oil to individual commodity markets indicates VIX, TED spread, and EPU as the most influential drivers of connectedness among commodity markets.