Articles

The explosion in cryptocurrencies: a black hole analogy

Using an analogy between finance and astrophysics, this study aims to investigate whether there exists a mechanism that can describe the explosive increase in the number of traded cryptocurrencies and the cryp...

Authors: Antonis Ballis and Konstantinos Drakos

Can the Baidu Index predict realized volatility in the Chinese stock market?

This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index. Furt...

Authors: Wei Zhang, Kai Yan and Dehua Shen

Opinion dynamics in finance and business: a literature review and research opportunities

Opinion dynamics is an opinion evolution process of a group of agents, where the final opinion distribution tends to three stable states: consensus, polarization, and fragmentation. At present, the opinion dyn...

Authors: Quanbo Zha, Gang Kou, Hengjie Zhang, Haiming Liang, Xia Chen, Cong-Cong Li and Yucheng Dong

A joint inventory–finance model for coordinating a capital-constrained supply chain with financing limitations

Faced with economic recession, firms struggle to find ways to stay competitive and maintain market share. Effective coordination of the supply chain can solve this problem, but this may fail if existing capita...

Authors: Faranak Emtehani, Nasim Nahavandi and Farimah Mokhatab Rafiei

Regime specific spillover across cryptocurrencies and the role of COVID-19

The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. ...

Authors: Syed Jawad Hussain Shahzad, Elie Bouri, Sang Hoon Kang and Tareq Saeed

Forecasting and trading cryptocurrencies with machine learning under changing market conditions

This study examines the predictability of three major cryptocurrencies—bitcoin, ethereum, and litecoin—and the profitability of trading strategies devised upon machine learning techniques (e.g., linear models,...

Authors: Helder Sebastião and Pedro Godinho

The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries

This study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The e...

Authors: Begüm Yurteri Kösedağlı, Gül Huyugüzel Kışla and A. Nazif Çatık

Correction to: Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios

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

Authors: Mustafa Demirel and Gazanfer Unal

Forecasting directional movement of Forex data using LSTM with technical and macroeconomic indicators

Forex (foreign exchange) is a special financial market that entails both high risks and high profit opportunities for traders. It is also a very simple market since traders can profit by just predicting the di...

Authors: Deniz Can Yıldırım, Ismail Hakkı Toroslu and Ugo Fiore

Correction to affiliations

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

Authors:

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

The previous studies have shown that capital market integration has increased in the ASEAN-5, implying that investors making investment diversification across ASEAN capital markets could only earn limited dive...

Authors: Robiyanto Robiyanto, Bayu Adi Nugroho, Eka Handriani and Andrian Dolfriandra Huruta

Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using month...

Authors: Yonghong Jiang, Gengyu Tian and Bin Mo

Editor’s introduction

Authors: Gang Kou

Capital mobility in Latin American and Caribbean countries: new evidence from dynamic common correlated effects panel data modeling

This study investigates the degree of capital mobility in a panel of 16 Latin American and 4 Caribbean countries during 1960 to 2017 against the backdrop of the Feldstein-Horioka hypothesis by applying recent ...

Authors: Vasudeva N. R. Murthy and Natalya Ketenci

Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios

This study examines emerging market (EM) local bonds from a portfolio risk perspective and suggests methodologies for risk evaluation, on which the literature is limited. Despite the growth of EM bond funds in...

Authors: Mustafa Demirel and Gazanfer Unal

Governing the gold rush into emerging markets: a case study of Indonesia’s regulatory responses to the expansion of Chinese-backed online P2P lending

Peer-to-peer (P2P) lending has the potential to boost financial inclusion in emerging markets. This paper contributes to the literature on fintech governance in emerging Asian markets. It examines the case of ...

Authors: Angela Tritto, Yujia He and Victoria Amanda Junaedi

Discovering optimal weights in weighted-scoring stock-picking models: a mixture design approach

Certain literature that constructs a multifactor stock selection model adopted a weighted-scoring approach despite its three shortcomings. First, it cannot effectively identify the connection between the weigh...

Authors: I-Cheng Yeh and Yi-Cheng Liu

Introduction to the special issue on analytical and decision-making technique innovation in financial market

Authors: Liang Xu, Liuren Wu, Xiao Li and Feng Shen

S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA

This study forecasts the return and volatility dynamics of S&P BSE Sensex and S&P BSE IT indices of the Bombay Stock Exchange. To achieve the objectives, the study uses descriptive statistics; tests including ...

Authors: Madhavi Latha Challa, Venkataramanaiah Malepati and Siva Nageswara Rao Kolusu

Editor’s introduction

Authors: Gang Kou

The macroeconomic effects of COVID-19 in Montenegro: a Bayesian VARX approach

This study examines, diagnoses, and assesses appropriate macroeconomic policy responses of the Montenegrin Government to the outbreak of COVID-19. The model econometrically measures the macroeconomic costs usi...

Authors: Gordana Djurovic, Vasilije Djurovic and Martin M. Bojaj

Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic

Through the application of the VAR-AGARCH model to intra-day data for three cryptocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and volatility spillover between these cryptocurre...

Authors: Imran Yousaf and Shoaib Ali

Comprehensive review of text-mining applications in finance

Text-mining technologies have substantially affected financial industries. As the data in every sector of finance have grown immensely, text mining has emerged as an important field of research in the domain o...

Authors: Aaryan Gupta, Vinya Dengre, Hamza Abubakar Kheruwala and Manan Shah

The effect of individual factors on user behaviour and the moderating role of trust: an empirical investigation of consumers’ acceptance of electronic banking in the Kurdistan Region of Iraq

The popularity of self-service technologies, particularly in the banking industry, more precisely with electronic banking channel services, has undergone a major change as individuals' lifestyles develop. This...

Authors: Yadgar Taha M. Hamakhan

How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast

This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on t...

Authors: Lin Liu and Qiguang Chen

An empirical examination of investor sentiment and stock market volatility: evidence from India

Understanding the irrational sentiments of the market participants is necessary for making good investment decisions. Despite the recent academic effort to examine the role of investors’ sentiments in market d...

Authors: Haritha P H and Abdul Rishad

Debt choice, growth opportunities and corporate investment: evidence from China

The study aims to investigate how relying on short-term debt may help Chinese listed firms to make efficient investment decisions and reduce overinvestment problem for low-growth firms. The study uses a large ...

Authors: Ning Ding, Kalimullah Bhat and Khalil Jebran

Cost-benefit analysis of trading strategies in the stock index futures market

With the introduction of many derivatives into the capital market, including stock index futures, the trading strategies in financial markets have been gradually enriched. However, there is still no theoretica...

Authors: Xiong Xiong, Yian Cui, Xiaocong Yan, Jun Liu and Shaoyi He

Apples, oranges and lemons: public sector debt statistics in the 21st century

In both academic research and policymaking, public sector debt and debt-to-GDP ratios are relied on for a multitude of important economic, political and socioeconomic decisions, especially as public sector bal...

Authors: Mike Seiferling

How does an individual’s default behavior on an online peer-to-peer lending platform influence an observer’s default intention?

Previous studies indicate that individuals’ default behaviors on online peer-to-peer (P2P) lending platforms greatly influence other borrowers’ default intentions. However, the mechanism of this impact is not ...

Authors: Mingfeng Tang, Mei Mei, Cuiwen Li, Xingyang Lv, Xushuang Li and Lihao Wang

Trading stocks following sharp movements in the USDX, GBP/USD, and USD/CNY

We hypothesized that sharp movement in the USDX, GBP/USD, and USD/CNY might result in stock market fluctuations owing to heightened investors’ sentiments. The subsequent performance of trading stocks right aft...

Authors: Yensen Ni, Min-Yuh Day and Paoyu Huang

Degree of financialization and energy efficiency in Sub-Saharan Africa: do institutions matter?

The United Nations Sustainable Development Goal 7 emphasizes the need for economies around the world to double their efforts in energy efficiency improvements. This is because improvements in energy efficiency...

Authors: Philip Kofi Adom, Franklin Amuakwa-Mensah and Salome Amuakwa-Mensah

Decision making on financial investment in Turkey by using ARDL long-term coefficients and AHP

Mathematical modeling methods are frequently used for solving everyday problems. Decision making, one such method, can be used in every aspect of life for different scales such as micro (households), medium (c...

Authors: Serkan Atmaca and Hacı Ahmet Karadaş

Financial sector development and Investment in selected countries of the Economic Community of West African States: empirical evidence using heterogeneous panel data method

This study investigated the impact of financial sector development on domestic investment in selected countries of the Economic Community of West African States (ECOWAS) for the years 1985–2017. The study empl...

Authors: Chimere O. Iheonu, Simplice A. Asongu, Kingsley O. Odo and Patrick K. Ojiem

Effect of financial constraints on the growth of family and nonfamily firms in Turkey

This study examined whether family-owned firms have advantages for accessing external financial sources for growth. Especially in developing countries with imperfect markets, firms can face difficulties access...

Authors: Bahadır Ergün and Ömer Tuğsal Doruk

Editor’s introduction

Authors: Gang Kou

Encoding candlesticks as images for pattern classification using convolutional neural networks

Candlestick charts display the high, low, opening, and closing prices in a specific period. Candlestick patterns emerge because human actions and reactions are patterned and continuously replicate. These patte...

Authors: Jun-Hao Chen and Yun-Cheng Tsai

Portfolio optimization of credit risky bonds: a semi-Markov process approach

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on l_∞-norm risk measure and the ...

Authors: Puneet Pasricha, Dharmaraja Selvamuthu, Guglielmo D’Amico and Raimondo Manca

Investigating liquidity constraints as a channel of contagion: a regime switching approach

The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model. The interdependence and co-movement of financial markets in different countries has bee...

Authors: Rajan Sruthi and Santhakumar Shijin

Testing the governance-performance relationship for the Tunisian banks: a GMM in system analysis

This study aims to contribute to settling the lack of consensus regarding the determinants of bank performance, not only by considering bank governance, but also by including factors such as CEO compensation a...

Authors: Nesrine Djebali and Khemais Zaghdoudi

Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach

This paper examines the long- and short-run dynamics of asymmetric adjustment between the nominal exchange rate and commodity prices, namely oil, palm oil, rubber, and natural gas prices, in Malaysia using mon...

Authors: Shamaila Butt, Suresh Ramakrishnan, Nanthakumar Loganathan and Muhammad Ali Chohan

Bitcoin pricing: impact of attractiveness variables

The research seeks to contribute to Bitcoin pricing analysis based on the dynamics between variables of attractiveness and the value of the digital currency. Using the error correction model, the relationship ...

Authors: Rodrigo Hakim das Neves

Editor’s introduction

Authors: Gang Kou

Correction to: Does the EVA valuation model explain the market value of equity better under changing required return than constant required return?

After publication of this article [1], it is reported this article contained an error in the section ‘Risk-free return (rf)’

Authors: Sujata Behera

On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting

This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models: sGARCH, girGARCH, eGARCH, iGARCH, aGARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH along wit...

Authors: Ngozi G. Emenogu, Monday Osagie Adenomon and Nwaze Obini Nweze

Portfolio selection: a fuzzy-ANP approach

This study developed specific criteria and a fuzzy analytic network process (FANP) to assess and select portfolios on the Tehran Stock Exchange (TSE). Although the portfolio selection problem has been widely i...

Authors: Masoud Rahiminezhad Galankashi, Farimah Mokhatab Rafiei and Maryam Ghezelbash

Extreme learning with chemical reaction optimization for stock volatility prediction

Extreme learning machine (ELM) allows for fast learning and better generalization performance than conventional gradient-based learning. However, the possible inclusion of non-optimal weight and bias due to ra...

Authors: Sarat Chandra Nayak and Bijan Bihari Misra

Impact of petroleum and non-petroleum indices on financial development in Oman

This study analyzes the impact of petroleum and non-petroleum indices on the financial development of the Sultanate of Oman from 1978 to 2017. To this end, it uses the petroleum proxy of oil rents (% of gross ...

Authors: Faris Nasif Alshubiri, Omar Ikbal Tawfik and Syed Ahsan Jamil

Fighting African capital flight: trajectories, dynamics, and tendencies

This study provides a harmonization framework for common capital flight policies in Africa. It builds on evidence of persistent extreme poverty in the continent to assess how common measures can be adopted by ...

Authors: Simplice A. Asongu, Joseph I. Uduji and Elda N. Okolo-Obasi

Predicting changes in Bitcoin price using grey system theory

Bitcoin is currently the leading global provider of cryptocurrency. Cryptocurrency allows users to safely and anonymously use the Internet to perform digital currency transfers and storage. In recent years, th...

Authors: Mahboubeh Faghih Mohammadi Jalali and Hanif Heidari