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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...
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...
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...
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...
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...
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...
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...
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...
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...
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 ...
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...
This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) ...
This study aims to evaluate the crowdfunding alternatives regarding new service development process pathways of clean energy investment projects. In this framework, a new model has been generated by considerin...
To solve the high-dimensionality issue and improve its accuracy in credit risk assessment, a high-dimensionality-trait-driven learning paradigm is proposed for feature extraction and classifier selection. The ...
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimat...
China has made great efforts to alleviate poverty in rural ethnic minority areas and targeted achieving the poverty-alleviation task by the end of 2020. Aba, Ganzi, and Liangshan, three of the poorest ethnic p...
This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies (Bitcoin, Ethereum, and Ripple), gold, and West Texas Intermediate (WTI) crude o...
In this study, the hourly directions of eight banking stocks in Borsa Istanbul were predicted using linear-based, deep-learning (LSTM) and ensemble learning (LightGBM) models. These models were trained with fo...
This study investigates the need for credit supervision as conducted by on-site banking supervisors. It builds on a real bank on-site credit examination to compare the performance of a hypothetical self-superv...
According to the 2017 Global Financial Inclusion (Global Findex) database, the average penetration rate of mobile money accounts in East Africa is higher than that of the WAEMU. This study attempts to understa...
Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with ...
An amendment to this paper has been published and can be accessed via the original article.
The original article was published in Financial Innovation 2020 6:28
The original article was published in Financial Innovation 2020 6:22
The original article was published in Financial Innovation 2019 5:19
The original article was published in Financial Innovation 2018 4:23
The original article was published in Financial Innovation 2017 3:5
The original article was published in Financial Innovation 2016 2:15
The original article was published in Financial Innovation 2016 2:3
This research explored the effects of the coronavirus disease (COVID-19) outbreak on stock price movements of China’s tourism industry by using an event study method. The results showed that the crisis negativ...
Governments settle their financial obligations and pay for the public expenditures largely through finances generated from taxes. For many developing countries like Pakistan, the state authorities are still ha...
The study analyzes the performance of bank-specific characteristics, macroeconomic indicators, and global factors to predict the bank lending in Turkey for the period 2002Q4–2019Q2. The objective of this study...
In this study, we investigate the impact of the light-a-lamp event that occurred in India during the COVID-19 lockdown. This event happened across the country, and millions of people participated in it. We lin...
This study investigates the effect of targeted reserve requirement ratio cuts (TRRRCs) on tax avoidance among small and micro enterprises (SMEs) with operating revenues below specific cutoffs in China. Using a...
This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets. The following methods are applied for the analysis: the spillover index metho...
This research sheds light on the causal link between commodity price indexes, i.e., the Agricultural Raw Materials Price Index, Industry Input Price Index, Metal Price Index, and Energy Price Index, in the glo...
The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional Diebold-Yilmaz spillover in...
This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany,...
The effect of COVID-19 on stock market performance has important implications for both financial theory and practice. This paper examines the relationship between COVID-19 and the instability of both stock ret...
This study investigates the stock price–economic activity nexus in 12 member countries of the Organization for Economic Cooperation and Development (OECD) by employing monthly data over the period 1981:1–2018:...
In a highly intertwined and connected business environment, globalized layout planning can be an effective way for enterprises to expand their market. Nevertheless, conflicts and contradictions always exist be...
The outbreak of the SARS-CoV-2 virus in early 2020, known as COVID-19, spread to more than 200 countries and negatively affected the global economic output. Financial activities were primarily depressed, and i...
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...
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...
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...
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...
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. ...
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,...
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...
An amendment to this paper has been published and can be accessed via the original article.
The original article was published in Financial Innovation 2020 6:50
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...
An amendment to this paper has been published and can be accessed via the original article.
The original article was published in Financial Innovation 2017 3:8
The original article was published in Financial Innovation 2016 2:30
The original article was published in Financial Innovation 2016 2:17
The original article was published in Financial Innovation 2015 1:17
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...
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...
