Citation: Financial Innovation 2021 7:88
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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...
Citation: Financial Innovation 2021 7:87
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...
Citation: Financial Innovation 2021 7:80
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 ...
Citation: Financial Innovation 2021 7:86
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 ...
Citation: Financial Innovation 2021 7:71
Citation: Financial Innovation 2021 7:85
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...
Citation: Financial Innovation 2021 7:70
Citation: Financial Innovation 2021 7:84
Citation: Financial Innovation 2021 7:82
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., ...
Citation: Financial Innovation 2021 7:79
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...
Citation: Financial Innovation 2021 7:77
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...
Citation: Financial Innovation 2021 7:69
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...
Citation: Financial Innovation 2021 7:78
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...
Citation: Financial Innovation 2021 7:76
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...
Citation: Financial Innovation 2021 7:68
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...
Citation: Financial Innovation 2021 7:75
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...
Citation: Financial Innovation 2021 7:74
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...
Citation: Financial Innovation 2021 7:67
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...
Citation: Financial Innovation 2021 7:66
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...
Citation: Financial Innovation 2021 7:65
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...
Citation: Financial Innovation 2021 7:64
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...
Citation: Financial Innovation 2021 7:63
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...
Citation: Financial Innovation 2021 7:62
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...
Citation: Financial Innovation 2021 7:61
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 ...
Citation: Financial Innovation 2021 7:60
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 ...
Citation: Financial Innovation 2021 7:59
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...
Citation: Financial Innovation 2021 7:58
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...
Citation: Financial Innovation 2021 7:57
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...
Citation: Financial Innovation 2021 7:56
Citation: Financial Innovation 2021 7:55
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...
Citation: Financial Innovation 2021 7:54
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...
Citation: Financial Innovation 2021 7:53
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...
Citation: Financial Innovation 2021 7:52
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 ...
Citation: Financial Innovation 2021 7:51
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...
Citation: Financial Innovation 2021 7:50
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 ...
Citation: Financial Innovation 2021 7:49
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 ...
Citation: Financial Innovation 2021 7:48
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 ...
Citation: Financial Innovation 2021 7:47
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...
Citation: Financial Innovation 2021 7:46
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...
Citation: Financial Innovation 2021 7:45
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...
Citation: Financial Innovation 2021 7:44
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...
Citation: Financial Innovation 2021 7:43
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...
Citation: Financial Innovation 2021 7:42
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...
Citation: Financial Innovation 2021 7:41
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...
Citation: Financial Innovation 2021 7:40
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...
Citation: Financial Innovation 2021 7:39
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...
Citation: Financial Innovation 2021 7:38
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...
Citation: Financial Innovation 2021 7:37
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 ...
Citation: Financial Innovation 2021 7:36
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...
Citation: Financial Innovation 2021 7:35
- ISSN: 2199-4730 (electronic)