Articles

A wavelet approach of investing behaviors and their effects on risk exposures

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 ...

Authors: Roman Mestre

Correction to references of ‘Countries’

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

Authors:

The impact of the COVID-19 outbreak on Chinese-listed tourism stocks

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...

Authors: Wenmin Wu, Chien-Chiang Lee, Wenwu Xing and Shan-Ju Ho

Voluntary tax compliance behavior of individual taxpayers in Pakistan

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...

Authors: Ibn e Hassan, Ahmed Naeem and Sidra Gulzar

Machine learning approach to drivers of bank lending: evidence from an emerging economy

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...

Authors: Onder Ozgur, Erdal Tanas Karagol and Fatih Cemil Ozbugday

Light a lamp and look at the stock market

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...

Authors: Radeef Chundakkadan

Does access to credit reduce SMEs’ tax avoidance? Evidence from a regression discontinuity design

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...

Authors: Xiaowei Kong, Deng-Kui Si, Haiyang Li and Dongmin Kong

Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets

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...

Authors: Muhammad Owais Qarni and Saiqb Gulzar

Editor’s introduction

Authors: Gang Kou

Co-movement of commodity price indexes and energy price index: a wavelet coherence approach

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...

Authors: Dervis Kirikkaleli and Hasan Güngör

Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers

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...

Authors: Syed Jawad Hussain Shahzad, Elie Bouri, Ladislav Kristoufek and Tareq Saeed

Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

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,...

Authors: Manel Youssef, Khaled Mokni and Ahdi Noomen Ajmi

COVID-19 and instability of stock market performance: evidence from the U.S.

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...

Authors: Hui Hong, Zhicun Bian and Chien-Chiang Lee

Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

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:...

Authors: Veli Yilanci, Onder Ozgur and Muhammed Sehid Gorus

Identifying the key factors of subsidiary supervision and management using an innovative hybrid architecture in a big data environment

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...

Authors: Kuang-Hua Hu, Ming-Fu Hsu, Fu-Hsiang Chen and Mu-Ziyun Liu

Financial development during COVID-19 pandemic: the role of coronavirus testing and functional labs

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...

Authors: Muhammad Khalid Anser, Muhammad Azhar Khan, Khalid Zaman, Abdelmohsen A. Nassani, Sameh E. Askar, Muhammad Moinuddin Qazi Abro and Ahmad Kabbani

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