Search Results (359)

Predicting financial stock returns remains challenging due to their inherent nonlinearity, non-stationarity, and sensitivity to market microstructure noise. Existing approaches typically rely on either econometric filtering techniques or deep learning models in isolation, limiting their ability to jointly capture latent dynamics and complex temporal dependencies. This study proposes a hybrid Extended Kalman Filter–Long Short-Term Memory (EKF–LSTM) framework that integrates nonlinear state-space filtering with deep sequential learning. The EKF component performs nonlinear state estimation and denoises to extract latent signals from noisy observations, while the LSTM network models nonlinear temporal dependencies in the filtered series. The proposed framework is evaluated using data from multiple international markets, including China, the United States, and Europe, providing cross-market evidence of model robustness. Empirical results show that the EKF–LSTM model consistently outperforms benchmark models (ARIMA, standalone EKF, LSTM, and GRU) across standard statistical metrics, including RMSE, MAE, and mean directional accuracy (MDA). In addition, the model delivers economically meaningful improvements under a long-only trading strategy, achieving higher risk-adjusted returns and lower maximum drawdowns relative to benchmark strategies. Diebold–Mariano tests further confirm that these performance gains are statistically significant. Overall, the findings demonstrate that integrating nonlinear state-space filtering with deep learning provides a robust and effective framework for financial time-series forecasting. However, the results should be interpreted with caution due to the limited sample size and the simplifying assumptions underlying the trading strategy. Full article

Coastal small-scale fishers in the Asia-Pacific region (APR) face mounting challenges from climate change (CC), with vulnerability shaped by ecological exposure, socio-economic dependence, and limited adaptive capacity. This study reflects on two contrasting cases, Taiwan and Papua New Guinea (PNG), to explore fishers’ perceptions and perspectives on CC and practical adaptation strategies. In PNG, 209 respondents from Momase, the Islands, and Southern regions participated. In Taiwan, 45 respondents from the Yunlin and Chiayi coastal regions participated. Significant correlations in coastal communities’ vulnerabilities and perceptions towards CC were revealed. Small-scale fishers perceive rising sea temperatures, shifting fish stocks, and intensifying typhoons as disruptive shocks to livelihoods and eroding traditional fishing practices. In Taiwan, despite relatively stronger infrastructure, household income, and access to technology, adaptation remains constrained by market pressures, declining youth participation, and regulatory complexities. In PNG, fishers deeply rely on natural resources and coastal ecosystems for subsistence and income, yet face acute risks from sea-level rise, coral bleaching, and unpredictable weather. With limited financial resources, weak institutional support, and geographic isolation, fishers perceive CC as an amplifying factor to existing vulnerabilities, leaving communities dependent on traditional knowledge and communal coping strategies. Fishers’ perceptions of CC are shaped by lived experiences rather than scientific discourse, influencing adaptation choices ranging from livelihood diversification to migration. Perceptions of CC drivers, their distal and proximal impacts on coastal fishing community livelihoods are viewed as siloed; yet, remote sensing data revealed that the impacts are transboundary. The findings underscore the urgent need for context-sensitive policies that integrate local knowledge, science-based data (such as remote sensing CC maps) to strengthen institutional support, and enhance resilience among vulnerable and underserved coastal small-scale fishers. Full article

An investment portfolio consists of a set of financial assets, such as stocks, fixed-income securities, mutual funds, and real estate, held to achieve diversification and to optimize returns. Accurate asset forecasting provides investors with valuable information to support decision-making. Although existing studies have proposed models for forecasting and portfolio optimization, most rely mainly on traditional techniques and metaheuristic approaches. This work introduces ESIPO (Ensemble Strategies for Investment Portfolio Optimization), a methodology that integrates deep learning and metaheuristic algorithms to perform asset forecasting and investment portfolio optimization. The dataset is obtained from the S&P 500 index, one of the main stock markets. To enhance forecasting accuracy, ESIPO combines five methods from the top-performing models of the international M4 competition: (a) ARIMA (AutoRegressive Integrated Moving Average) and ETS (the statistical exponential-smoothing state-space), which represent classical statistical approaches; (b) FFORMA (Feature-based FORecast Model Averaging) and JAGANATHAN, two ensemble-based methods; (c) CNN (Convolutional Neural Network), which is one of the most common deep learning models. ESIPO improves the forecast performance of the portfolio by applying the TAIPO (Threshold Accepting Investment Portfolio Optimization) metaheuristic to select the best assets and optimize portfolio composition. The results obtained 45% of improvement according to the Sharpe Ratio metric. Full article

As emerging economies expedite their integration into global capital markets, comprehending the implications of voluntary International Financial Reporting Standards (IFRS) adoption has become increasingly critical for regulators, investors, and corporations. This study examines the influence of voluntary IFRS adoption on the quality of financial reporting and the value of firms in Vietnam, a transitional economy characterized by a unique code-law legal tradition, a substantial disparity between domestic accounting standards and IFRS, and a government-mandated adoption roadmap that establishes a distinctive quasi-voluntary adoption phase. The study utilizes a panel dataset of 562 firms listed on the Ho Chi Minh Stock Exchange (HOSE) and the Hanoi Stock Exchange (HNX) from 2019 to 2022, employing a fixed-effects regression model with robust standard errors to account for unobservable firm heterogeneity. Utilizing agency theory and signaling theory, the research anticipates and validates that voluntary IFRS adoption correlates positively with diminished discretionary accruals (serving as an indicator of financial reporting quality) and elevated Tobin’s Q (acting as a measure of firm value). The estimated effect corresponds to a 10.7% reduction in discretionary accruals and a 13.1% increase in Tobin’s Q relative to sample means—magnitudes that are both statistically and economically significant. Unlike prior studies that rely exclusively on archival data, this study employs a survey-based measure of voluntary IFRS adoption activity to capture preparatory behaviors that are not yet observable in public financial disclosures, representing a methodological contribution to the literature. The results have useful implications for policymakers in Vietnam and other developing countries that are considering adopting IFRS on either a voluntary or mandatory basis. They show that taking the initiative to follow international reporting standards makes reports more trustworthy and the market more valuable. Full article

Understanding how information flows across financial segments during global crises is crucial for analyzing complex and highly interconnected markets. This study investigated the dynamic information flow between cryptocurrencies, commodities, stock market indices of G10 countries, five-year sovereign CDS spreads, ten-year government bond yields, foreign exchange market variables, and technology company stocks using daily return data spanning from 1 January 2018 to 24 March 2026. Transfer Entropy is estimated using two alternative approaches: directly from the original variables and from independent components obtained via Independent Component Analysis (ICA), which reduces noise and uncovers latent relationships. A sliding-window framework is employed to capture time-varying directional information flow and to assess changes across major global events, including the COVID-19 pandemic, the Russia–Ukraine conflict, and the Middle East tensions. The results indicate that the magnitude and direction of information flow change significantly during crisis periods, revealing an event-sensitive and dynamically evolving connectivity structure between financial segments. Overall, the integration of ICA and Transfer Entropy provides a clearer and more reliable representation of directional interactions in multidimensional financial systems under the conditions of heightened uncertainty. Full article

The present study provides a high-frequency empirical assessment of the financial performance, volatility, and market integration of thematic sustainability-oriented equity funds, focusing on clean energy and environmental innovation indices. Specifically, the study compares the financial performance of representative thematic green equity funds, such as ICLN and QCLN, and an emerging-market benchmark (ECON) with conventional developed-market indices (SPY, QQQ, GSPC, and XLE) using daily stock prices from 2010 to 2025. The analysis employs a transparent and replicable framework based on daily logarithmic and cumulative returns and incorporates the compound annual growth rate (CAGR), Sharpe and Sortino ratios, beta estimation, correlation analysis, and maximum drawdown. The research frequency is appropriate for a thorough analysis of short-term market structures and performance. The results indicate that sustainability-oriented equity indices exhibit higher volatility, deeper drawdowns, and greater sensitivity to broad market movements than conventional benchmarks. Sustainability-focused equity indices that emphasize clean energy exhibit higher market sensitivity (betas above 1) and strong correlations with traditional equity indices. Correlation and beta estimates suggest a high degree of integration with traditional equity markets, implying limited diversification benefits within an equity-only framework. Periods of relative outperformance appear to be associated with favorable policy conditions and energy market dynamics, but are not consistently sustained over the sample period. In addition, the overall results suggest that sustainability investments generate substantial environmental and social externalities. Risk-adjusted performance measures suggest weaker historical performance over the sample period relative to conventional benchmarks. These findings should be interpreted as a comparative historical assessment rather than a structural risk model. From a policy perspective, the findings suggest that stable and credible regulatory frameworks, including long-term climate policy support and investment-enabling institutions, may be important for improving the financial resilience and long-term viability of green equity instruments. From a sustainability transition perspective, the observed volatility and market dependence of sustainability-oriented equity indices may constrain their effectiveness as standalone market-based financing mechanisms without complementary institutional and policy support. Full article

Purchasing portfolio models, particularly the Kraljic matrix, are widely used to support sourcing decisions under supply risk. Yet, they are often criticized for relying on subjective assessments and focusing mainly on upstream uncertainty while neglecting downstream demand volatility. This study develops a quantitatively grounded purchasing portfolio framework that integrates demand volatility and lead-time volatility into a unified measure of supply risk to support more sustainable sourcing decisions. Using transactional data for 876 stock-keeping units (SKUs) from a pharmaceutical distribution company, demand and lead-time volatility are measured through coefficients of variation and combined using an adjusted multifactor model that accounts for their interdependence. Financial importance is measured objectively through gross profit and classified according to the 80–20 Pareto principle. These metrics are incorporated into a revised purchasing portfolio matrix that classifies items into strategic, leverage, bottleneck, and routine categories. The findings reveal substantial variation in combined volatility across SKUs and show that incorporating demand uncertainty significantly changes portfolio positioning compared with traditional approaches. By linking purchasing and marketing perspectives, the proposed model reduces subjectivity, improves risk visibility, and supports sustainable sourcing and inventory decisions in volatile environments. Full article

This study evaluates the extent and quality of tax transparency reporting among the Top 40 firms listed on the Johannesburg Stock Exchange (JSE), distinguishing between mandatory tax disclosures and voluntary transparency practices. A qualitative, disclosure-based research design was employed, involving content analysis of publicly available annual reports, integrated reports, and sustainability reports. A structured tax transparency framework grounded in stakeholder theory and legitimacy theory, and adapted from prior empirical studies was applied to systematically assess tax-related disclosures. Findings indicate high compliance with mandatory tax disclosure requirements, reflecting strong adherence to accounting standards and regulatory obligations. In contrast, voluntary tax transparency shows considerable variation: firms predominantly provide narrative, policy-oriented, and governance-related information, while detailed, forward-looking, and jurisdiction-specific disclosures remain limited. The discussion highlights that voluntary transparency is shaped by stakeholder expectations, legitimacy concerns, and perceived reputational and commercial risks, leading to selective disclosure. Regulatory compliance emerges as the primary driver of tax reporting, whereas voluntary practices are influenced by firm-specific and contextual factors. The results hold relevance for investors, regulators, and policymakers seeking greater corporate accountability, and for standard-setters aiming to enhance the consistency and depth of tax transparency reporting. Overall, the study enriches the limited literature on corporate tax transparency in emerging markets by offering contemporary empirical evidence from South Africa and identifying key areas requiring improvement in voluntary tax disclosures. Full article

This study proposes a machine learning framework tailored to the institutional characteristics of Taiwan’s stock market, aiming to enhance forecasting accuracy for the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). The model employs the Radius Neighbors Regressor with a dynamic radius-based similarity measure and integrates domain-specific features including technical indicators, volume–price relationships, and Qualified Foreign Institutional Investor (QFII) activity. A custom 60-day input window with a 20-day forecast horizon is applied to capture medium-term market dynamics. The framework was evaluated through extensive backtesting and real-world validation with the TAIEX Futures. The results demonstrate that the model achieves a peak directional accuracy of 85.1% under optimal parameter settings. Moreover, trading simulations confirm its practical viability, yielding a cumulative return on investment (ROI) of approximately 1600% during the short-term evaluation period (2023–2025) and nearly 2000% in the long-term evaluation (2019–2025), even after accounting for transaction costs and stop-loss mechanisms. These findings indicate that combining historical pattern similarity with institutional investor behavior substantially improves predictive power and profitability. Nevertheless, the framework remains constrained by its reliance on Taiwan-specific institutional features and historical trading data, limiting generalizability. Future research should extend applications to other markets while incorporating macroeconomic variables, corporate fundamentals, and news-driven signals to enhance adaptability. Full article

This study examines financial integration and contagion across South Asia’s emerging and frontier markets during the 2001–2013 period, encompassing both the global financial and Eurozone crises. Employing a multi-factor asset pricing model within an EGARCH framework, we disentangle systematic global exposures from idiosyncratic shocks originating in the U.S. and Eurozone. By formally testing for structural changes in both mean returns and conditional variance, we uncover a striking “integration-contagion paradox.” While frontier markets (Bangladesh, Nepal) appear segmented from global pricing signals in tranquil times, they remain acutely susceptible to second-moment volatility contagion during stress periods. In contrast, India exhibits strong systematic return integration yet remains relatively insulated from volatility cascades. These results challenge the conventional view that financial segmentation offers a robust shield against systemic risk, revealing that a lack of global integration does not immunize markets against the transmission of global uncertainty. Full article

Efficiently converting natural capital into economic assets is a critical challenge in urban–rural transformation, yet the interactive mechanism between institutional land reform and physical spatial restructuring remains underexplored. While traditional frameworks emphasize institutional design, this study identifies a “Spatial-First” mechanism where physical reconfiguration serves as a spatial mediator to catalyze property rights breakthroughs. Using an entropy-weighted coupling coordination model, we analyzed policy dynamics in Nanhai District, China, a unique “dual-pilot” zone, from 2020 to 2024. The results indicate a nonlinear leap in the Coupling Coordination Degree (D) from 0.100 to 0.978. We interpret this surge as a policy-driven shock during the intensive pilot phase, where substantive spatial integration (0.719) effectively bypassed high transaction costs inherent in collective tenure, outpacing institutional progress (0.281). However, an Ecological Lag was observed; the disproportionately low weighting of the ecological carrier index (7.09%) suggests that current gains are primarily driven by green industrialization rather than the expansion of absolute ecological stock. This study concludes that while spatial tools can effectively unlock natural capital value in the short term, long-term sustainability necessitates a strategic shift from administrative-led economic efficiency to market-based ecological restoration. Full article

Stock price prediction remains a prominent area of interest among investors due to its potential impact on financial decision making. We developed a deep learning-based system for stock market analysis, forecasting, and automated trading. Utilizing historical financial data, technical indicators, and sentiment information, long short-term memory (LSTM) networks were employed to model and predict stock price movements. The predicted outcomes were integrated into a rule-based automated trading system to simulate real-time buy and sell decisions. Experimental evaluations conducted on the Taiwan Stock Exchange (TWSE) indicate that the developed model surpasses baseline models in both prediction accuracy and trading profitability. The system presents the capability of deep learning to improve forecasting precision and facilitate intelligent, automated trading strategies within contemporary financial markets. Full article

Stock-ranking prediction is an important task in quantitative finance because it directly influences portfolio construction and alpha generation. Recent Graph Neural Network (GNN) models provide a promising way to describe inter-stock dependencies, but many existing methods still have difficulty balancing rapidly changing market interactions with relatively stable structural relationships. They are also easily affected by financial micro-structure noise. To address these issues, this paper proposes USTGCN, a Unified Spatio-Temporal Graph Convolutional Network for stock-ranking prediction. USTGCN adopts a dual-stream temporal encoder based on ALSTM and GRU to capture short-term dynamic patterns and longer-horizon structural information, respectively. We further introduce a rolling-window correlation smoothing strategy to build a more stable dynamic graph, and then integrate the dynamic and structural graph views through a shared fusion layer. Skip connections are used to preserve original temporal information during spatial aggregation. Experiments on the CSI100 and CSI300 benchmark datasets show that USTGCN achieves IC values of 0.141 and 0.154, respectively, and exhibits improved drawdown control during stressed market periods, indicating its practical value for quantitative trading. Full article

This study investigates the volatility nexus between exchange rates, interest rates, and stock market returns in South Africa, an emerging economy characterised by deep financial integration and exposure to global capital flows. Using monthly data from January 2003 to February 2025, the analysis employs a multi-layered econometric framework combining asymmetric GARCH models (EGARCH and GJR-GARCH), an Asymmetric Dynamic Conditional Correlation (ADCC-GARCH) specification, and a GARCH-MIDAS–DCC approach that decomposes volatility into long-run and short-run components while modelling time-varying cross-market dependence. The findings indicate that exchange rate volatility is the dominant and most persistent driver of financial market risk, highlighting the central role of the South African rand in transmitting global shocks to domestic markets. Equity market volatility is largely shock driven and mean reverting, with sharp increases during major crisis episodes such as the Global Financial Crisis and the COVID-19 pandemic. Dynamic correlations across markets are persistent but predominantly negative between stock returns and exchange rates, while linkages involving interest rates are weaker and more episodic. Overall, the results suggest that South Africa’s financial volatility nexus operates primarily through exchange rate-driven transmission rather than short-run contagion effects. Full article

This paper examines how assets from emerging and developed stock markets can be efficiently allocated during periods of financial crisis by integrating traditional portfolio theory with Extreme Value Theory (EVT), using the Generalized Pareto Distribution (GPD) and Generalized Extreme Value (GEV) approaches to model tail risks. This study evaluates mean-variance portfolios constructed under each EVT framework and finds that portfolios based on GPD estimates consistently favour emerging market assets, which outperform both developed market and internationally diversified portfolios during extreme market conditions. In contrast, GEV-based portfolios indicate superior performance for developed market assets, highlighting the distinct behaviour of returns in the upper and lower tails of the distribution. These contrasting results reveal the unique nature of safe-haven characteristics associated with developed economies, the assets of which demonstrate greater stability and resilience during episodes of financial stress. By showing how tail-risk modelling alters optimal portfolio weights across market types, this paper contributes new evidence to the literature on crisis-informed asset allocation and offers practical insights for investors seeking robust diversification strategies under extreme market fluctuations. Full article