Articles

Editor’s introduction

Authors: Gang Kou

On the factors of Bitcoin’s value at risk

This study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential dr...

Authors: Ji Ho Kwon

Supportive tactics for innovative and sustainability performance in emerging SMEs

For this research, we examined the influence of access to domestic and international financing on sustainability performance with a mediating role of innovative performance and a moderating role of access to g...

Authors: Farid Ullah, Ma Degong, Muhammad Anwar, Saddam Hussain and Rizwan Ullah

Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets

This study investigates the international spillover effects of US unconventional monetary policy (UMP)—frequently called large-scale asset purchases or quantitative easing (QE)—on advanced and emerging market ...

Authors: Zekeriya Yildirim and Mehmet Ivrendi

Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments

This study considers the risk management of insurance policies in line with the implementation of the new International Financial Reporting Standards 17. It applies the paid-incurred chain method to model the ...

Authors: Yixing Zhao, Rogemar Mamon and Heng Xiong

Pricing, management and decision-making of financial markets with artificial intelligence: introduction to the issue

Authors: Feng Xiao and Jintao Ke

An empirical behavioral order-driven model with price limit rules

We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determi...

Authors: Gao-Feng Gu, Xiong Xiong, Hai-Chuan Xu, Wei Zhang, Yongjie Zhang, Wei Chen and Wei-Xing Zhou

The function and impact of cryptocurrency and data technology in the context of financial technology: introduction to the issue

Authors: Lin Zhao

Correction to: High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

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

How much do social connections matter in fundraising outcomes?

This study examines the role of social connections and network centrality in attracting funders to crowdfunding campaigns. We classify social connections as either external (e.g., Facebook) or internal (e.g., ...

Authors: Lihuan Guo, Wei Wang, Yenchun Jim Wu and Mark Goh

A multicriteria credit scoring model for SMEs using hybrid BWM and TOPSIS

Small- and medium-sized enterprises (SMEs) have a crucial influence on the economic development of every nation, but access to formal finance remains a barrier. Similarly, financial institutions encounter chal...

Authors: Pranith Kumar Roy and Krishnendu Shaw

Insights into financial technology (FinTech): a bibliometric and visual study

This paper conducted a comprehensive analysis based on bibliometrics and science mapping analysis. First, 848 publications were obtained from Web of Science. Their fundamental characteristics were analyzed, in...

Authors: Bo Li and Zeshui Xu

Are suspicious activity reporting requirements for cryptocurrency exchanges effective?

This study analyzes the impact of a newly emerging type of anti-money laundering regulation that obligates cryptocurrency exchanges to report suspicious transactions to financial authorities. We build a theore...

Authors: Daehan Kim, Mehmet Huseyin Bilgin and Doojin Ryu

Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model

This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon futures prices and whether it has predictive power for the volatility of carbon futures p...

Authors: Jian Liu, Ziting Zhang, Lizhao Yan and Fenghua Wen

Shadow banking: a bibliometric and content analysis

This study reports on our systematic review of 2008–2021 literature on shadow banking. We present an overview of the shadow banking sector, wherein we discuss the definitions, evolution, functions, and specifi...

Authors: Ridoy Deb Nath and Mohammad Ashraful Ferdous Chowdhury

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