2019 March - 49 articles
We examined the impact of corporate diversification and financial structure on the firms’ financial performance. We collected data from 520 manufacturing firms from Pakistan, India, Sri Lanka, and Bangladesh. We used panel data of 14 years from...
The literature on portfolio selection and risk measurement has considerably advanced in recent years. The aim of the present paper is to trace the development of the literature and identify areas that require further research. This paper provides a l...
We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem particu...
In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentione...
This paper examines the relationships between macroscopic determinants (typically, monetary policies) and microscopic factors (mainly, cash flows and other controlling variables) on corporate investment. By employing system-GMM estimation for the 250...
Insomnia (and sleep deprivation) has an important impact on multiple outcomes such as individuals’ cognitive abilities, decision-making, and affect. In this paper, drawing from sleep research, we focus on entrepreneurs’ insomnia–hea...
This study investigated the relative Granger causal effects of oil price on exchange rate, trade balance, and foreign reserve in Nigeria. We used seasonally adjusted quarterly data from 1986Q4 to 2018Q1 to remove predictable changes in the series. Gi...
Determining distributions of the functions of random variables is a very important problem with a wide range of applications in Risk Management, Finance, Economics, Science, and many other areas. This paper develops the theory on both density and dis...
In the current era of globalization and competitive edge, the survival of newly established ventures has become a big challenge. Numerous studies have been carried out to discover factors that are essential for newly initiated ventures but the result...
Income inequality in many middle-income countries has increased at an alarming level. While the time series relationship between income inequality and economic growth has been extensively investigated, the causal and dynamic link between them, partic...
We examine the global legal entity identifier (LEI) system for the identification of participants in financial markets. Semi-structured interviews with data professionals revealed the many ways in which the LEI can improve both business process effic...
This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index o...
The purpose of this study is to review recent developments pertaining to risk management in Islamic banking and finance literature. The study explores the fundamental features of risks associated with Islamic banks (IBs) as compared to those associat...
This paper studies the behaviour of Bitcoin returns at different sample frequencies. We consider high frequency returns starting from tick-by-tick price changes traded at the Bitstamp and Coinbase exchanges. We find evidence of a smooth intra-daily s...
This study discusses the institutional investors’ shareholding base on corporate governance system in Taiwan. The sample was 4760 Taiwanese companies from 2005 to 2012. Then, this study established six hypotheses to investigate the effects of c...
In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data o...
This paper investigates tax competitiveness among the EU member countries. The tax competition of countries causes both positive and negative effects on macroeconomic processes such as the effectiveness of government spending, the rationality of supp...
Over the past three decades, China and India have attained economic power close to that of Japan and the U.S. During this period, the importance of the derivatives market within the financial market has been widely recognized. However, little support...
Machine learning research has gained momentum—also in finance. Consequently, initial machine-learning-based statistical arbitrage strategies have emerged in the U.S. equities markets in the academic literature, see e.g., Takeuchi and Lee (2013)...
Research analysis of small enterprises are still rare, due to lack of individual level data. Small enterprise failures are connected not only with their financial situation abut also with non-financial factors. In recent research we tend to apply mor...
To model multivariate, possibly heavy-tailed data, we compare the multivariate normal model (N) with two versions of the multivariate Student model: the independent multivariate Student (IT) and the uncorrelated multivariate Student (UT). After recal...
This paper investigates the determinants of the sovereign risk premium in African countries. We employ the dynamic fixed effects model to determine the key drivers of sovereign bond spreads. Country-specific effects are fixed and the inclusion of dum...
The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature 2-f...
The conditional capital asset pricing model (CAPM) theory postulates that the systematic risk (
The majority of electronic markets worldwide employ limit order books, and the recently emerging exchanges for cryptocurrencies pose no exception. With this work, we empirically analyze whether commonly observed empirical properties from established...
In the wake of the global financial crisis that erupted in 2008, there has been extensive commentary and regulatory focus on the ‘Too Big to Fail’ issue. In this paper, we survey the proposed solutions and regulatory initiatives that have...
We seek to determine whether a United States President’s job approval rating is influenced by the Misery Index. This hypothesis is examined in two ways. First, we employ a nonlinear model that includes several macroeconomic variables: the curre...
The new growth theories with an emphasis on fundamental determinants such as institutions suggest a non-linear cross-country growth process. In this paper, we investigate the public debt and economic growth relationship using the semi-parametric smoo...
ISO 14001 (Environmental Management Standard) helps corporations to build legitimacy and goodwill, and can be also viewed as an organizational response to institutional pressure to act proactively towards the environment. The purpose of this paper is...
Our paper extends the literature on the determinants and impacts of financial literacy by conducting the OECD/INFE survey in two relatively low-income Asian economies—Cambodia and Viet Nam—and analyzing the determinants of financial liter...
This article explores the impact of financial market regulation on jobs. It argues that understanding the impact of finance on labor markets is key to an understanding of the trade-off between economic stability and financial sector growth. The artic...
We provide a trend prediction classification framework named the random sampling method (RSM) for cryptocurrency time series that are non-stationary. This framework is based on deep learning (DL). We compare the performance of our approach to two cla...
The informativeness of financial reports has been of a great importance to both investors and academics. Earnings are crucial for evaluating future prospects and determining company value, especially around milestone events such as initial public off...
This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capi...
The financial health of a company can be seen as the ability to maintain a balance against changing conditions in the environment and at the same time in relation to everyone participating in the business. In the evaluation of financial health and pr...
Two banknotes and two coins of the New Taiwan Dollar are infrequently (if at all) used in Taiwan when people make cash payments. This note examines the effect of this behavior on the efficiency of cash payments. The results are compared with the Euro...
Energy futures have become important as alternative investment assets to minimize the volatility of portfolio return, owing to their low links with traditional financial markets. In order to make energy futures markets grow further, it is necessary t...
The link between export performance and exchange rate policy has been attracting attention from policymakers, academics, and practitioners for some time, particularly for emerging countries. It has been recently claimed that implementing a policy tha...
This paper proposes a novel approach, based on convolutional neural network (CNN) models, that forecasts the short-term crude oil futures prices with good performance. In our study, we confirm that artificial intelligence (AI)-based deep-learning app...
In previous studies, we estimated a time series of coefficients on five international currencies (the US dollar, the euro, the Japanese yen, the British pound, and the Swiss franc) in a utility function. We call the coefficients utilities of internat...
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In 2015, Goldman Sachs closed its BRIC (Brazil, Russia, India, China) fund after years of losses and plummeting assets. Emerging markets had, once again, turned into submerging markets. Their dependence on “developed” markets and establis...
A re-evaluation of the role of interest rates is necessary in the wake of the Great Recession. This paper will re-evaluate the interpretation and empirical use of the yield spread as a predictor of recessions, focusing on the simplified methodology i...
We investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We considered a broad range of financial market variables in measuring financial conditions to obtain a better estimate of macroe...
This paper investigates the impact of exchange rate volatility on exports in Vietnam using quarterly data from the first quarter of 2000 to the fourth quarter of 2014. The paper applies the autoregressive distributed lag (ARDL) bounds testing approac...
Modern Portfolio Theory is the ground upon which most works in portfolio optimization context find their foundations. Many studies attempt to extend the Modern Portfolio Theory to include short sale, leverage and transaction costs, features not consi...
In the current highly competitive and fast-changing business environment, in which the optimisation of all resources matters, creating an efficient supply chain is crucial. Earlier studies on supply chains have focussed on aligning product/services a...
A comprehensive measure of economic uncertainty, known as “Policy Uncertainty”, which was constructed by the Economic Policy Uncertainty Group by searching popular newspapers for uncertain terms associated with economic factors and its im...
The global financial market has become extremely interconnected as it demonstrates strong nonlinear contagion in times of crisis. As a result, it is necessary to measure financial systemic risk in a comprehensive and nonlinear approach. By establishi...
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