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International Journal of Financial Studies, Volume 10, Issue 1

2022 March - 22 articles

Cover Story: Markowitz’s mean-variance model for portfolio optimization has come under constant criticism, primarily due to the fact that the adequacy of using variance as a measure of risk and the importance of correlation coefficients at the time of market decline are questionable. Based on the tools provided by game theory, it is possible to form a model that only measures downside risk and has theoretical advantages. However, empirical ones need to be considered. If we observe weekly returns of stocks in the European capital market over the period 2000–2020, including three bear market periods and including the period of market decline during the COVID-19 crisis, we can obtain an answer. View this paper
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Articles (22)

  • Article
  • Open Access
21 Citations
6,524 Views
24 Pages

Financial inclusion is a widely used measure to improve the living standards of households and foster inclusive economic growth. Thus, financial inclusion is one of the main policy objectives in developing countries. Besides, financial regulation (ca...

  • Article
  • Open Access
3 Citations
4,875 Views
16 Pages

The encouragement of potential investors who are emotionally broken by past losses and market experiences is crucial to the sustainable flow of funds to the stock market. This can be established by building a knowledge-creating mechanism among invest...

  • Feature Paper
  • Article
  • Open Access
9 Citations
6,084 Views
15 Pages

In this paper, we compared the models for selecting the optimal portfolio based on different risk measures to identify the periods in which some of the risk measures dominated over others. For decades, the best known return-risk model has been Markow...

  • Article
  • Open Access
23 Citations
10,307 Views
23 Pages

In this study, we investigate whether effective corporate governance (CG) intervenes in the relationship between real earnings management (REM) and firm value (FV) by introducing Korean market data. We find that management’s opportunistic REM b...

  • Article
  • Open Access
1 Citations
3,775 Views
19 Pages

Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators’ objective is to avoid financial crises, and even though they can somewhat control local conditions, internatio...

  • Feature Paper
  • Article
  • Open Access
3 Citations
5,752 Views
19 Pages

This paper investigates the motivations behind corporate social responsibility (CSR) by considering the consequences of environmental, social and governance (ESG) failures that CSR is intended to avoid. Using data from 2581 public U.S. firms over 200...

  • Article
  • Open Access
4,681 Views
23 Pages

Given the prevalence of dual directors who serve simultaneously on the parent as well as the subsidiary board, it is important to examine their functions, a topic largely ignored in the existing literature. Exploring the functions of dual directors h...

  • Article
  • Open Access
38 Citations
14,114 Views
16 Pages

Corporate Social Responsibility (CSR) has progressively assumed a strategic role in corporate business. In this sense, the board of directors (Board) assumes a preponderant role, since they make decisions about business strategy. One considerably deb...

  • Article
  • Open Access
3 Citations
3,752 Views
10 Pages

This paper examines and compares the dividend policies of American depository receipt (ADR) firms and U.S. firms and identifies the factors that determine these policies for both types of companies. We find that ADR firms have higher dividend yields...

  • Article
  • Open Access
14 Citations
8,949 Views
16 Pages

A highly significant feature of the stock market is its efficiency, which is associated with information efficiency. However, the liquidity of stock on the market is its essential characteristic. The inflow of information in highly liquid markets all...

  • Article
  • Open Access
2 Citations
6,967 Views
18 Pages

This paper aims to integrate the money market into the structure of the economy. The microfoundation is the starting point to define the money market and the general equilibrium mechanism of the economy. On this basis, this research seeks a linking m...

  • Article
  • Open Access
4 Citations
4,235 Views
23 Pages

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, whi...

  • Article
  • Open Access
6 Citations
9,738 Views
20 Pages

Portfolio Constraints: An Empirical Analysis

  • Guido Abate,
  • Tommaso Bonafini and
  • Pierpaolo Ferrari

Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for a...

  • Article
  • Open Access
10 Citations
6,433 Views
15 Pages

Effect of Religiosity, Perceived Risk, and Attitude on Tax Compliant Intention Moderated by e-Filing

  • Mekar Satria Utama,
  • Umar Nimran,
  • Kadarisman Hidayat and
  • Arik Prasetya

This research examined the effect of Religiosity, Perceived Risk, and Attitude on Tax Compliant Intention, moderated by e-Filing. This research used a quantitative approach which involved the Structural Equation Model (SEM). Large taxpayers are gener...

  • Article
  • Open Access
10 Citations
4,906 Views
11 Pages

Cannabis Stocks Returns: The Role of Liquidity and Investors’ Attention via Google Metrics

  • Stephanos Papadamou,
  • Alexandros Koulis,
  • Constantinos Kyriakopoulos and
  • Athanasios P. Fassas

This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e...

  • Article
  • Open Access
13 Citations
5,043 Views
20 Pages

The objective of this paper is to analyze the relationship between the social and environmental practices of Corporate Social Responsibility (CSR), and the economic–financial, social, and environmental performance in Mozambican companies, from...

  • Article
  • Open Access
14 Citations
7,010 Views
21 Pages

This study aims to examine the determinants of investors’ behavioral intentions to participate in the stock market. In this attempt, this research investigated the direct and moderating effects of the financial cognitive abilities and the finan...

  • Article
  • Open Access
9 Citations
4,842 Views
28 Pages

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic....

  • Article
  • Open Access
5 Citations
7,386 Views
12 Pages

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily r...

  • Article
  • Open Access
60 Citations
15,446 Views
17 Pages

FinTech Companies: A Bibliometric Analysis

  • Gencay Tepe,
  • Umut Burak Geyikci and
  • Fatih Mehmet Sancak

The financial-technology industry has recently attracted the attention of many sectors. The financial-technology industry designs new and unusual technological financial services in many areas. It combines technology with finance and provides an alte...

  • Article
  • Open Access
8 Citations
6,386 Views
13 Pages

The conventional wisdom has maintained that being in proximity to entrepreneurial ecosystems helps startups to raise financing, develop and grow. In this paper, we examine the effect of a major component of an entrepreneurial ecosystem-financial or v...

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Int. J. Financial Stud. - ISSN 2227-7072