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This paper derives a new decomposition of stock returns using price extremes and proposes a conditional autoregressive shape (CARS) model with beta density to predict the direction of stock returns. The CARS m...
This study proposes a social-financial approach (SFA) to fill the methodological research gap in strategic policy design for managing financial transitions during social changes. The SFA seeks to characterize ...
With the high-speed development of decentralized applications, account-based blockchain platforms have become a hotbed of various financial scams and hacks due to their anonymity and high financial value. Fina...
This study aims to examine the time-varying efficiency of the Turkish stock market’s major stock index and eight sectoral indices, including the industrial, financial, service, information technology, basic me...
Since Markowitz proposed modern portfolio theory, portfolio optimization has been being a classic topic in financial engineering. Although it is generally accepted that options help to improve the market, ther...
Central Asian States (CAS) have diverse natural resources. This research aims to shed light on the finance–natural resource’s association in the context of CAS namely Kazakhstan, Kyrgyzstan, Tajikistan, Turkme...
This study questions the importance of public debt in stable growth between 1980 and 2018, specifically, the Ricardian equivalence hypothesis and Keynesian view are questioned. This study used data obtained fr...
The current financial education framework has an increasing need to introduce tools that facilitate the application of theoretical models to real-world data and contexts. However, only a limited number of free...
Forecasting returns for the Artificial Intelligence and Robotics Index is of great significance for financial market stability, and the development of the artificial intelligence industry. To provide investors...
This research aims to investigate the influence of female directors on Intellectual Capital Performance (ICP) using a sample of manufacturing-listed companies in China. Our study investigates the link between ...
In response to the unprecedented uncertain rare events of the last decade, we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion amb...
In this study, we develop and empirically test a valuation model for a commonly encountered option in office leases: a tenant’s option to renew at future market rent (a fair market value) with lease terminatio...
This study investigates the design of the royalty rate in a first-price auction across three types of investments: incremental and lumpy with or without an exogenously given intensity. A bidder’s investment co...
This study reveals the inconsistencies between the negative externalities of carbon emissions and the recognition condition of accounting statements. Hence, the study identifies that heavily polluting enterpri...
In this paper, we summarize and analyze the relevant research on the cash management problem appearing in the literature. First, we identify the main dimensions of the cash management problem. Next, we review ...
Technological innovations significantly influence individual firms and other innovations, such as financial innovations. The future of a firm depends on its innovation investment strategy. According to the lit...
Online banking fraud occurs whenever a criminal can seize accounts and transfer funds from an individual’s online bank account. Successfully preventing this requires the detection of as many fraudsters as poss...
The study aims to investigate the financial technology (FinTech) factors influencing Chinese banking performance. Financial expectations and global realities may be changed by FinTech’s multidimensional scope,...
Using negative to low-correlated assets to manage short-term portfolio risk is not uncommon among investors, although the long-term benefits of this strategy remain unclear. This study examines the long-term b...
This paper is motivated by Bitcoin’s rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets. It is also motivated by a lack of empirical studi...
The driving forces behind cryptoassets’ price dynamics are often perceived as being dominated by speculative factors and inherent bubble-bust episodes. Fundamental components are believed to have a weak, if an...
This scientific approach mainly aims to develop a smart city/smart community concept to objectively evaluate the progress of these organizational forms in relation to other classical/traditional forms of city ...
Central banks worldwide have started researching and developing central bank digital currencies (CBDCs). In the digital economy context, concerns regarding the integrity, competition, and privacy of CBDC syste...
Volatility forecasting is important in financial econometrics and is mainly based on the application of various GARCH-type models. However, it is difficult to choose a specific GARCH model that works uniformly...
Why do households use different types of loans? Which factors cause borrowers to default? Using a comprehensive survey dataset from Chile, I estimate a partial information model of consumer debt access, lender...
Public companies in the United States are required to file annual reports (i.e., Form 10-K) and disclose, among other things, the risk factors that may harm their stock price. The risk of a pandemic was well-k...
This study proposes a wavelets approach to estimating time–frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to i...
We explore the impacts of economic and financial dislocations caused by COVID-19 pandemic shocks on food sales in the United States from January 2020 to January 2021. We use the US weekly economic index (WEI) to ...
The original article was published in Financial Innovation 2023 9:16
This research paper analyzes revenue trends in e-commerce, a sector with an annual sales volume of more than 340 billion dollars. The article evaluates, despite a scarcity of data, the effects on e-commerce de...
This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia. It contributes to the existing literature by (i) revisiting this question for the principal st...
We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory. The problem of valuing the inherent real optionality a coal producer has when mining and processi...
The argument over fiscal decentralization and carbon dioxide emission (CO2) reduction has received much attention. However, evidence to back this claim is limited. Economic theory predicts that fiscal decentraliz...
Despite blockchain’s potential to transform corporations by providing new ways of organizing business processes and handling information, extant research pays inadequate attention to how and under what conditi...
We introduce evolutionary game method to analyze low-price collusion in inquiry market of Sci-Tech Innovation Board of China (SIBC) from the perspective of strategic interaction between large institutional inv...
As a financial innovation of the information age, cryptocurrency is a complex concept with clear advantages and disadvantages and is worthy of discussion. Exploring from a terrorism perspective, this study use...
Central Asian Economies (CAEs) have diverse exchange rate policies. They have recorded higher volatility in the foreign exchange market since inception. High volatility of the transition era has drifted these ...
To better understand the potential and limitations of the tokenization of real asset markets, empirical studies need to examine this radically new organization of financial markets. In our study, we examine th...
The present paper has two-fold purposes. First, the current work provides an integrated theoretical framework to compare popular mobile wallet service providers based on users' views in the Indian context. To ...
Rapidly increasing cryptocurrency prices have encouraged cryptocurrency miners to participate in cryptocurrency production, increasing network hashrates and electricity consumption. Growth in network hashrates...
The latest regulatory framework, which has been introduced globally in the form of Basel III, and its implementation in the legislation of the member states of the European Union has generated much interest in...
Overconfidence behavior, one form of positive illusion, has drawn considerable attention throughout history because it is viewed as the main reason for many crises. Investors’ overconfidence, which can be obse...
Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment, this study examines the effect of stock market liberalization on market efficiency. Employing ...
In this study, we analyze the lead-lag relationships between the US industry index and those of six other major countries from January 1973 to May 2021. We identify the leading role played by the US internatio...
Full electronic automation in stock exchanges has recently become popular, generating high-frequency intraday data and motivating the development of near real-time price forecasting methods. Machine learning a...
This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compare...
This paper presents an optimization approach—residual-based bootstrap averaging (RBBA)—for different types of forecast ensembles. Unlike traditional residual-mean-square-error-based ensemble forecast averaging...
In the nonparametric data envelopment analysis literature, scale elasticity is evaluated in two alternative ways: using either the technical efficiency model or the cost efficiency model. This evaluation becom...
