Articles

High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rollin...

Authors: Walid Mensi, Mobeen Ur Rehman, Muhammad Shafiullah, Khamis Hamed Al-Yahyaee and Ahmet Sensoy

Lottery-like preferences and the MAX effect in the cryptocurrency market

We investigate the significance of extreme positive returns in the cross-sectional pricing of cryptocurrencies. Through portfolio-level analyses and weekly cross-sectional regressions on all cryptocurrencies i...

Authors: Melisa Ozdamar, Levent Akdeniz and Ahmet Sensoy

Implied volatility estimation of bitcoin options and the stylized facts of option pricing

The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging. The need for these tools dates back to the ma...

Authors: Noshaba Zulfiqar and Saqib Gulzar

The time-varying causal relationship between the Bitcoin market and internet attention

The increasing attention on Bitcoin since 2013 prompts the issue of possible evidence for a causal relationship between the Bitcoin market and internet attention. Taking the Google search volume index as the m...

Authors: Xun Zhang, Fengbin Lu, Rui Tao and Shouyang Wang

The effect of option trading

This paper studies the effect of option trading on corporate investment and financing policies. Based on prior literature, I hypothesize that option market induces informed trading and thus reduces information...

Authors: Keming Li

What explains the technical efficiency of banks in Tunisia? Evidence from a two-stage data envelopment analysis

In this study we examine the potential determinants of technical efficiency for the Tunisian commercial banking sector over the period of 1995–2017. First, we estimate banking technical efficiency with a radia...

Authors: Mohamed Mehdi Jelassi and Ezzeddine Delhoumi

Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets

The emergence and growing popularity of Bitcoins have attracted the attention of the financial world. However, few empirical studies have considered the inclusion of the newly emerged commodity asset in the gl...

Authors: Yuze Li, Shangrong Jiang, Yunjie Wei and Shouyang Wang

Investigating seasonality, policy intervention and forecasting in the Indian gold futures market: a comparison based on modeling non-constant variance using two different methods

This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in th...

Authors: Rupel Nargunam, William W. S. Wei and N. Anuradha

Has COVID-19 changed the stock return-oil price predictability pattern?

In this paper, we examine if COVID-19 has impacted the relationship between oil prices and stock returns predictions using daily Japanese stock market data from 01/04/2020 to 03/17/2021. We make a novel contri...

Authors: Fan Zhang, Paresh Kumar Narayan and Neluka Devpura

Price distortions and municipal bonds premiums: evidence from Switzerland

This study examines the pricing of municipal bonds before and after a currency shock in Switzerland. Two approaches are used to decompose the municipal to treasuries bond spreads into liquidity, maturity, and ...

Authors: Darko B. Vukovic, Carlos J. Rincon and Moinak Maiti

Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat ...

Authors: David Y. Aharon, Zaghum Umar and Xuan Vinh Vo

Fintech platforms: Lax or careful borrowers’ screening?

Can peer-to-peer lending platforms mitigate fraudulent behaviors? Or have lending players been acting similar to free-riders? This paper constructs a new proxy to investigate lending platform misconduct and co...

Authors: Serena Gallo

Impact of learning through credit and value creation on the efficiency of Japanese commercial banks

This study investigates the learning curve of commercial banks regarding the efficiency of credit and value creation. However, current empirical methods for accessing the learning curve in organizations are no...

Authors: Joseph Jr. Aduba and Hiroshi Izawa

DAViS: a unified solution for data collection, analyzation, and visualization in real-time stock market prediction

The explosion of online information with the recent advent of digital technology in information processing, information storing, information sharing, natural language processing, and text mining techniques has...

Authors: Suppawong Tuarob, Poom Wettayakorn, Ponpat Phetchai, Siripong Traivijitkhun, Sunghoon Lim, Thanapon Noraset and Tipajin Thaipisutikul

Belt and Road (B&R) initiative and its impact on financial research: introduction to the issue

Authors: Yan Dong

Signals in equity-based crowdfunding and risk of failure

This study investigates signal validity in equity-based crowdfunding by examining whether signals that increase crowd participation are associated with higher post-offering success. Post-offering success is me...

Authors: Felix Reichenbach and Martin Walther

Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation

This paper proposes an original behavioural finance representative agent model, to explain how fake news’ empirical price impacts can persist in finance despite contradicting the efficient-market hypothesis. T...

Authors: Bryan Fong

Does board gender diversity affect firm performance? Empirical evidence from Standard & Poor’s 500 Information Technology Sector

The essence of this study is to investigate the influence of the board gender diversity on firms’ accounting and market-based performance using a sample of Standard & Poor’s 500 companies belonging to the info...

Authors: Liliana Nicoleta Simionescu, Ştefan Cristian Gherghina, Hiba Tawil and Ziad Sheikha

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic ...

Authors: Boubekeur Baba and Güven Sevil

Combined soft measurement on key indicator parameters of new competitive advantages for China's export

The estimation of the difference between the new competitive advantages of China's export and the world’s trading powers have been the key measurement problems in China-related studies. In this work, a compreh...

Authors: Taosheng Wang, Hongyan Zuo, C. H. Wu and B. Hu

A predictive indicator using lender composition for loan evaluation in P2P lending

Most loan evaluation methods in peer-to-peer (P2P) lending mainly exploit the borrowers’ credit information. However, the present study presents the maturity-based lender composition score, which exploits the ...

Authors: Yanhong Guo, Shuai Jiang, Wenjun Zhou, Chunyu Luo and Hui Xiong

Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China’s stock prices?

With the rapid expansion of the RMB exchange rate’s floating range, the effects of the RMB exchange rate and global commodity price changes on China’s stock prices are likely to increase. This study uses both ...

Authors: Shaobo Long, Mengxue Zhang, Keaobo Li and Shuyu Wu

Financial technology and the future of banking

This paper presents an analytical framework that describes the business model of banks. It draws on the classical theory of banking and the literature on digital transformation. It provides an explanation for ...

Authors: Daniel Broby

How text sentiment moderates the impact of motivational cues on crowdfunding campaigns

Arousing funders’ motives for crowdfunding participation is a challenge for every entrepreneur. According to self-determination theory, crowdfunding involvement is driven by two kinds of motivations: extrinsic...

Authors: Xiang Yuan, Luyao Wang, Xicheng Yin and Hongwei Wang

Detecting conflicts of interest in credit rating changes: a distribution dynamics approach

In this study, we compare the adjustments of credit ratings by an investor-paid credit rating agency (CRA), represented by Egan-Jones Ratings Company, and an issuer-paid CRA, represented by Moody’s Investors S...

Authors: Wai Choi Lee, Jianfu Shen, Tsun Se Cheong and Michal Wojewodzki

Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms

Some countries have announced national benchmark rates, while others have been working on the recent trend in which the London Interbank Offered Rate will be retired at the end of 2021. Considering that Turkey...

Authors: Özer Depren, Mustafa Tevfik Kartal and Serpil Kılıç Depren

A note on calculating expected shortfall for discrete time stochastic volatility models

In this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV) models. Specifically, we develop Monte Carlo methods to evaluate ES for a variety of com...

Authors: Michael Grabchak and Eliana Christou

Exploring biometric identification in FinTech applications based on the modified TAM

In recent years, biometric technologies have been widely embedded in mobile devices; these technologies were originally employed to enhance the security of mobile devices. With the rise of financial technology...

Authors: Jen Sheng Wang

A global perspective on macroprudential policy interaction with systemic risk, real economic activity, and monetary intervention

The study empirically assesses how macroprudential policy interacts with systemic risk, industrial production, and monetary intervention on a global level from January 2006 to December 2018. We adopt the aggre...

Authors: Mikhail I. Stolbov, Maria A. Shchepeleva and Alexander M. Karminsky

How does financial literacy impact on inclusive finance?

Inclusive finance is a core concept of finance that makes various financial products and services accessible and affordable to all individuals and businesses, especially those excluded from the formal financia...

Authors: Morshadul Hasan, Thi Le and Ariful Hoque

Fintech investments in European banks: a hybrid IT2 fuzzy multidimensional decision-making approach

Financial technology (Fintech) makes a significant contribution to the financial system by reducing costs, providing higher quality services and increasing customer satisfaction. Hence, new studies play an ess...

Authors: Gang Kou, Özlem Olgu Akdeniz, Hasan Dinçer and Serhat Yüksel

Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods

This research investigates the appropriateness of the linear specification of the market model for modeling and forecasting the cryptocurrency prices during the pre-COVID-19 and COVID-19 periods. Two extension...

Authors: Serdar Neslihanoglu

A Markov regenerative process with recurrence time and its application

This study proposes a non-homogeneous continuous-time Markov regenerative process with recurrence times, in particular, forward and backward recurrence processes. We obtain the transient solution of the proces...

Authors: Puneet Pasricha and Dharmaraja Selvamuthu

Basel III FRTB: data pooling innovation to lower capital charges

Anticipated to overhaul the structure of market risk teams, IT teams, and trading desks within banks by 2023, Basel III's Fundamental Review of the Trading Book requirements will also increase capital charges ...

Authors: Jimmy Yicheng Huang

The impact of gross domestic product on the financing and investment efficiency of China’s commercial banks

China’s commercial banks have developed at a very rapid speed in recent decades. However, with global economic development slowing down, the impact of gross domestic product growth as an exogenous factor canno...

Authors: Zhen Shi, Shijiong Qin, Yung-ho Chiu, Xiaoying Tan and Xiaoli Miao

COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations

This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) ...

Authors: Afees A. Salisu and Kingsley Obiora

A hybrid heterogeneous Pythagorean fuzzy group decision modelling for crowdfunding development process pathways of fintech-based clean energy investment projects

This study aims to evaluate the crowdfunding alternatives regarding new service development process pathways of clean energy investment projects. In this framework, a new model has been generated by considerin...

Authors: Yue Meng, Haoyue Wu, Wenjing Zhao, Wenkuan Chen, Hasan Dinçer and Serhat Yüksel

A high-dimensionality-trait-driven learning paradigm for high dimensional credit classification

To solve the high-dimensionality issue and improve its accuracy in credit risk assessment, a high-dimensionality-trait-driven learning paradigm is proposed for feature extraction and classifier selection. The ...

Authors: Lean Yu, Lihang Yu and Kaitao Yu

Preventing crash in stock market: The role of economic policy uncertainty during COVID-19

This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimat...

Authors: Peng-Fei Dai, Xiong Xiong, Zhifeng Liu, Toan Luu Duc Huynh and Jianjun Sun

Are “Internet+” tactics the key to poverty alleviation in China’s rural ethnic minority areas? Empirical evidence from Sichuan Province

China has made great efforts to alleviate poverty in rural ethnic minority areas and targeted achieving the poverty-alleviation task by the end of 2020. Aba, Ganzi, and Liangshan, three of the poorest ethnic p...

Authors: Xiang Yin, Zhiyi Meng, Xin Yi, Yong Wang and Xia Hua

Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis

This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies (Bitcoin, Ethereum, and Ripple), gold, and West Texas Intermediate (WTI) crude o...

Authors: Majid Mirzaee Ghazani and Mohammad Ali Jafari

An efficient stock market prediction model using hybrid feature reduction method based on variational autoencoders and recursive feature elimination

In this study, the hourly directions of eight banking stocks in Borsa Istanbul were predicted using linear-based, deep-learning (LSTM) and ensemble learning (LightGBM) models. These models were trained with fo...

Authors: Hakan Gunduz

Introduction to the special issue on Impact of COVID-19 and cryptocurrencies on the global financial market

Authors: Hui Xiao, Xiong Xiong and Weiwei Chen

To supervise or to self-supervise: a machine learning based comparison on credit supervision

This study investigates the need for credit supervision as conducted by on-site banking supervisors. It builds on a real bank on-site credit examination to compare the performance of a hypothetical self-superv...

Authors: José Américo Pereira Antunes

A study of the factors affecting mobile money penetration rates in the West African Economic and Monetary Union (WAEMU) compared with East Africa

According to the 2017 Global Financial Inclusion (Global Findex) database, the average penetration rate of mobile money accounts in East Africa is higher than that of the WAEMU. This study attempts to understa...

Authors: Sionfou Seydou Coulibaly

A wavelet approach of investing behaviors and their effects on risk exposures

Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with ...

Authors: Roman Mestre

Correction to references of ‘Countries’

An amendment to this paper has been published and can be accessed via the original article.

Authors:

The impact of the COVID-19 outbreak on Chinese-listed tourism stocks

This research explored the effects of the coronavirus disease (COVID-19) outbreak on stock price movements of China’s tourism industry by using an event study method. The results showed that the crisis negativ...

Authors: Wenmin Wu, Chien-Chiang Lee, Wenwu Xing and Shan-Ju Ho

Voluntary tax compliance behavior of individual taxpayers in Pakistan

Governments settle their financial obligations and pay for the public expenditures largely through finances generated from taxes. For many developing countries like Pakistan, the state authorities are still ha...

Authors: Ibn e Hassan, Ahmed Naeem and Sidra Gulzar

Machine learning approach to drivers of bank lending: evidence from an emerging economy

The study analyzes the performance of bank-specific characteristics, macroeconomic indicators, and global factors to predict the bank lending in Turkey for the period 2002Q4–2019Q2. The objective of this study...

Authors: Onder Ozgur, Erdal Tanas Karagol and Fatih Cemil Ozbugday