Articles

Predicting the daily return direction of the stock market using hybrid machine learning algorithms

Big data analytic techniques associated with machine learning algorithms are playing an increasingly important role in various application fields, including stock market investment. However, few studies have f...

Authors: Xiao Zhong and David Enke

Modeling and forecasting time series of precious metals: a new approach to multifractal data

We introduce a novel approach to multifractal data in order to achieve transcended modeling and forecasting performances by extracting time series out of local Hurst exponent calculations at a specified scale....

Authors: Emrah Oral and Gazanfer Unal

Macroeconomic effects of Mobile money: evidence from Uganda

This study examined the effects of mobile money—a recent innovation in Uganda’s financial-sector landscape—on aggregate economic activity and other macroeconomic variables. We first estimated the long-run mobi...

Authors: Joseph Mawejje and Paul Lakuma

Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures

In this study, we analyze three portfolio selection strategies for loss-averse investors: semi-variance, conditional value-at-risk, and a combination of both risk measures. Moreover, we propose a novel version...

Authors: Massimiliano Kaucic, Mojtaba Moradi and Mohmmad Mirzazadeh

Income inequality and financial crises: evidence from the bootstrap rolling window

This study aims to investigate the validity of the Rajan hypothesis, which argues that increasing income inequality plays a key role in the outbreak of financial crises. The relationship between income inequal...

Authors: Mehmet Akif Destek and Bilge Koksel

A statistical learning approach for stock selection in the Chinese stock market

Forecasting stock returns is extremely challenging in general, and this task becomes even more difficult given the turbulent nature of the Chinese stock market. We address the stock selection process as a stat...

Authors: Wenbo Wu, Jiaqi Chen, Liang Xu, Qingyun He and Michael L. Tindall

On the monetary measures of global liquidity

This study constructs and examines the dynamics of theoretical and atheoretical measures of global liquidity, using monthly data on the components of broad money over the period 2001 M12-2017 M12 for 39 high i...

Authors: Israr Ahmad Shah Hashmi and Arshad Ali Bhatti

Value chain financing and plantain production in Nigeria: an ex-ante approach

Value chain finance (VCF) represents the aligning and structuring of finance within a value chain or as a result of its existence. Given the growing need to explore innovative approaches to rural and agricultu...

Authors: Mathew Paul Ojo and Adeolu Babatunde Ayanwale

Editor’s introduction

Authors: Gang Kou

Indian stock market prediction using artificial neural networks on tick data

Nowadays, the most significant challenges in the stock market is to predict the stock prices. The stock price data represents a financial time series data which becomes more difficult to predict due to its cha...

Authors: Dharmaraja Selvamuthu, Vineet Kumar and Abhishek Mishra

A dynamic credit risk assessment model with data mining techniques: evidence from Iranian banks

Giving loans and issuing credit cards are two of the main concerns of banks in that they include the risks of non-payment. According to the Basel 2 guidelines, banks need to develop their own credit risk asses...

Authors: Somayeh Moradi and Farimah Mokhatab Rafiei

The impact of bank lending on Palestine economic growth: an econometric analysis of time series data

Banking is an essential sector of Palestine’s economy. More credits provided by banks are considered to have a positive impact on economic growth so that the overall objective of this study is to examine the i...

Authors: Ibrahim M. Awad and Mohammed S. Al Karaki

Editor’s introduction

Authors: Gang Kou

Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis

This study investigates whether the implied crude oil volatility and the historical OPEC price volatility can impact the return to and volatility of the energy-sector equity indices in Iran. The analysis speci...

Authors: Babak Fazelabdolabadi

Hedge fund replication using strategy specific factors

Hedge funds have traditionally served wealthy individuals and institutional investors with the promise of delivering protection of capital and uncorrelated positive returns irrespective of market direction, al...

Authors: Sujit Subhash and David Enke

Evaluation of the robusticity of mutual fund performance in Ghana using Enhanced Resilient Backpropagation Neural Network (ERBPNN) and Fast Adaptive Neural Network Classifier (FANNC)

Mutual fund investment continues to play a very important role in the world financial markets especially in developing economies where the capital market is not very matured and tolerant of small scale investo...

Authors: Yushen Kong, Micheal Owusu-Akomeah, Henry Asante Antwi, Xuhua Hu and Patrick Acheampong

Remittances, financial development and economic growth in sub-Saharan African countries: evidence from a PMG-ARDL approach

The study investigated the relationship among remittances, financial development and economic growth in a panel of 20 sub-Saharan African countries over the period of 2000 and 2015. The study used both Pooled ...

Authors: D. O. Olayungbo and Ahmod Quadri

Institutions and FDI: evidence from developed and developing countries

This study investigates the impact of institutional quality on Foreign Direct Investment (FDI) inflows using panel data for low, lower-middle, upper-middle and high-income countries for the sample period of 19...

Authors: Samina Sabir, Anum Rafique and Kamran Abbas

The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

This paper demonstrates a significant, long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1 – 2017 M4. Cointegration analysis is in...

Authors: Turgut Tursoy

A group decision model for credit granting in the financial market

Group decision models that contemplate the particularities of the decision-making process help organizations pursue their strategic objectives. In the financial market, the primary interest of organizations co...

Authors: Paulo Cesar Schotten and Danielle Costa Morais

Cointegration between macroeconomic factors and the exchange rate USD/CNY

This research paper investigates the effect of macroeconomic variables on the exchange rate USD/CYN using yearly time series data for China economy from 1980 to 2017. ARDL bounds test approach for cointegratio...

Authors: Muhammad Kamran Khan, Jian-Zhou Teng and Muhammad Imran Khan

Size, efficiency, market power, and economies of scale in the African banking sector

There is a growing body of evidence that interest rate spreads in Africa are higher for big banks compared to small banks. One concern is that big banks might be using their market power to charge higher lendi...

Authors: Simplice A. Asongu and Nicholas M. Odhiambo

Determinants of corporate cash holdings in tranquil and turbulent period: evidence from an emerging economy

Using a sample of 280 firms listed on the Pakistan Stock Exchange, we empirically investigate factors that determine corporate cash holdings in different periods from 2005 to 2014. We divide the sample into th...

Authors: Khalil Jebran, Amjad Iqbal, Kalim Ullah Bhat, Muhammad Arif Khan and Mustansar Hayat

Forecasting cryptocurrency returns and volume using search engines

In the context of the debate on the role of cryptocurrencies in the economy as well as their dynamics and forecasting, this brief study analyzes the predictability of Bitcoin volume and returns using Google se...

Authors: Muhammad Ali Nasir, Toan Luu Duc Huynh, Sang Phu Nguyen and Duy Duong

Alternative measure of financial development and investment-cash flow sensitivity: evidence from an emerging economy

This study examines the impact of financial development on corporate investment in terms of their influence on financing constraints. This study also tries to find the effect of financial development on the in...

Authors: Gaurav Gupta and Jitendra Mahakud

Editor’s introduction

Authors: Gang Kou

Timing the market: the economic value of price extremes

By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found signific...

Authors: Haibin Xie and Shouyang Wang

Factors influencing the internet banking adoption decision in North Cyprus: an evidence from the partial least square approach of the structural equation modeling

This paper aims to examine how the adoption decision of the internet banking in North Cyprus would be affected based on the following dimensions; the technology features, the personal characteristics, the soci...

Authors: Hiba Alhassany and Faisal Faisal

Household behavior in practicing mental budgeting based on the theory of planned behavior

Ajzen’s theory of planned behavior (TPB) suggests that planned behavior is determined by behavioral intention. Despite extensive literature based on TPB, household mental budgeting behavior explained by TPB is...

Authors: Ume Habibah, Ibne Hassan, Muhammad Shahid Iqbal and Naintara

Credit margin of investment in the agricultural sector and credit fungibility: the case of smallholders of district Shikarpur, Sindh, Pakistan

This study examines the access to credit, credit investment, and credit fungibility for small-holder farmers and medium- and large-scale farmers in the agricultural sector of the Shikarpur District of Sindh, P...

Authors: Abbas Ali Chandio, Yuansheng Jiang and Abdul Rehman

Determinants of foreign direct investment in fast-growing economies: evidence from the BRICS and MINT countries

The flow of foreign direct investment (FDI) into a country can benefit both the investing entity and host government. This study employed panel analysis to examine the factors that determine the direction of F...

Authors: Simplice Asongu, Uduak S. Akpan and Salisu R. Isihak

Estimating the effects of financial access on poor farmers in rural northern Nigeria

By recognizing the gap in the literature in examining the effects of financial resources and development outcomes at the household level, this paper examines whether the poorest income quintile would benefit m...

Authors: Terfa W. Abraham

Forecasting risk using auto regressive integrated moving average approach: an evidence from S&P BSE Sensex

The primary objective of the paper is to forecast the beta values of companies listed on Sensex, Bombay Stock Exchange (BSE). The BSE Sensex constitutes 30 top most companies listed which are popularly known a...

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

The ASEAN experience of the purchasing power parity theory

We used panel data analysis to evaluate the relative purchasing power parity (PPP) hypothesis of the ten ASEAN member countries between 1973 and 2015. We incorporated the cross-sectionally augmented panel unit...

Authors: S. M. Woahid Murad and Mohammad Amzad Hossain

Editor’s introduction

Authors: Gang Kou

Estimating stock closing indices using a GA-weighted condensed polynomial neural network

Accurate forecasting of changes in stock market indices can provide financial managers and individual investors with strategically valuable information. However, predicting the closing prices of stock indices ...

Authors: Sarat Chandra Nayak and Bijan Bihari Misra

Nexus between financial innovation and economic growth in South Asia: evidence from ARDL and nonlinear ARDL approaches

This study examined the relationship between financial innovation and economic growth in Bangladesh, India, Pakistan, and Sri Lanka for the period Q1 1975 to Q4 2016. The autoregressive distributed lag (ARDL) ...

Authors: Md. Qamruzzaman and Wei Jianguo

Modelling trust evolution within small business lending relationships

Trust is a key dimension in the principal-agent relationship and it has been studied extensively. However, the dynamics, evolution, and intrinsic motivation and mechanisms have received less attention. This pa...

Authors: Ying Tang, Andrea Moro, Sandro Sozzo and Zhiyong Li

Beta through the prism of wavelets

In this paper, we empirically show how wavelet decomposition can provide an easy vehicle to study the systematic risk properties of return series to serve as protocol for different traders who view the market ...

Authors: Aasif Shah, Arif Tali and Qaiser Farooq

Editor’s introduction

Authors: Gang Kou

Herding behavior in Ramadan and financial crises: the case of the Pakistani stock market

This study examines herding behavior in the Pakistani Stock Market under different market conditions, focusing on the Ramadan effect and Crisis period by using data from 2004 to 2014. Two regression models of ...

Authors: Imran Yousaf, Shoaib Ali and Syed Zulfiqar Ali Shah

Financial frictions and the cash flow – external financing sensitivity: evidence from a panel of Pakistani firms

This paper uses a large panel of Pakistani non-financial firms over the period 2000–2013 to examine the role of financial constraints in establishing the relationship between cash flow and external financing. ...

Authors: Abdul Rashid and Noshaba Jabeen

Is money going digital? An alternative perspective on the current hype

Current financial discourse suggests the imminence of a cashless society, a concept that arose from the global popularization of digital financial services and the development of technologies with the potentia...

Authors: Daniel Gersten Reiss

Impact of global financial crunch on financially innovative microfinance institutions in South Asia

The wave of global financial crises (2008–2009) caused a surge in the capital flows of developed countries particularly, between developed and developing countries. The crunch hit all financial sectors with un...

Authors: Faisal Mustafa, Ambreen Khursheed and Maham Fatima

Does financial depth impact economic growth in North Cyprus?

This study purpose is to connect the proxy of financial development which is total banking sector’s deposits with the economic growth in North Cyprus. The reason for using the total deposit differently with th...

Authors: Turgut Türsoy and Faisal Faisal

Climate change and financing adaptation by farmers in northern Nigeria

This paper examines farmers’ perceptions of their exposure to climate change in rural northern Nigeria. It also examines whether there is a significant relationship between the exposure of farmers to climate c...

Authors: Terfa W. Abraham and William M. Fonta

Value-at-risk under ambiguity aversion

This study explored the effects of ambiguity on the calculation of Value-at-Risk (VaR) using a mathematical model based on the theory of Choquet-Brownian processes. It was found that while a moderate degree of...

Authors: Rossella Agliardi

Editor’s introduction

Authors: Gang Kou

Brent prices and oil stock behaviors: evidence from Nigerian listed oil stocks

Given the shale oil glut that culminated in the most recent and continuing oil price drop from June 2014 and the global financial crisis of 2008 that triggered a cyclical downturn in oil prices and stock marke...

Authors: Amarachi Uzo-Peters, Temitope Laniran and Adeola Adenikinju

Forecasting investment and consumption behavior of economic agents through dynamic computable general equilibrium model

Much research has been devoted to examination of the financial easing policy of the European Central Bank (ECB). However, this study is one of the first to use a dynamic micro-founded model to investigate empi...

Authors: Irfan Ahmed, Claudio Socci, Francesca Severini, Qaiser Rafique Yasser and Rosita Pretaroli