Articles

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

Development of E-banking channels and market share in developing countries

There is fierce global competition within the banking industry. Therefore, banks endeavor to grow and strive to increase their market share. We analyzed the effect of developing innovative channels of presenti...

Authors: Ali Nazaritehrani and Behzad Mashali

Distributed ledger technology for securities clearing and settlement: benefits, risks, and regulatory implications

This article outlines the benefits and risks of the distributed ledger technology (DLT) for the clearing and settlement of exchange-traded and OTC securities, followed by a description of the technology’s pote...

Authors: Randy Priem

Nexus between foreign direct investment and economic growth in Bangladesh: an augmented autoregressive distributed lag bounds testing approach

The relationship between foreign direct investment (FDI) inflows and economic growth in host countries is a heavily debated issue. Although some studies have found evidence of the positive impact of FDI on eco...

Authors: Bibhuti Sarker and Farid Khan

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

Through the Economic-Value-Added (EVA) valuation model, the expected market value of equity can be determined by adding the book value of equity with the present value of expected EVAs under the assumption of ...

Authors: Sujata Behera

Editor’s introduction

Authors: Gang Kou

Privacy-preserving analytics for the securitization market: a zero-knowledge distributed ledger technology application

A zero-knowledge proof or protocol is a cryptographic technique for verifying private data without revealing it in its clear form. In this paper, we evaluate the potential for zero-knowledge distributed ledger...

Authors: Sophie Meralli

Overall profit Malmquist productivity index under data uncertainty

The calculation of the overall profit Malmquist productivity index (MPI) requires precise and accurate information on the input, output, input-output prices of each decision making unit (DMU). However, in many...

Authors: Dariush Akbarian

Effect of regional factor productivity on manufacturing sector: The case of Sino-Pak economic ties

Economic ties and trade blocs increase the flow of trade between participating countries and lead to different levels of economic and structural changes.

Authors: Muhammad Imran, An HuSen, Muhammad Kaleem, Arshad Khan Bangash, Nizam Ud Din and Sobia

Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches

This study contributes a rich set of quantitative methodologies including a non-parametric approach (Chi-plots and K-plots) as well as copulas (traditional and time-varying with Student’s t-copulas) to the exi...

Authors: Duy Duong and Toan Luu Duc Huynh

The relationship between energy consumption, economic growth and carbon dioxide emissions in Pakistan

Developing countries are facing the problem of environmental degradation. Environmental degradation is caused by the use of non-renewable energy consumptions for economic growth but the consequences of environ...

Authors: Muhammad Kamran Khan, Muhammad Imran Khan and Muhammad Rehan

General election effect on the network topology of Pakistan’s stock market: network-based study of a political event

To examine the interdependency and evolution of Pakistan’s stock market, we consider the cross-correlation coefficients of daily stock returns belonging to the blue chip Karachi stock exchange (KSE-100) index....

Authors: Bilal Ahmed Memon, Hongxing Yao and Rabia Tahir

The comparative African regional economics of globalization in financial allocation efficiency: the pre-crisis era revisited

This study assesses the role of globalization-fueled regionalization policies on the financial allocation efficiency of four economic and monetary regions in Africa from 1980 to 2008. Banking and financial sys...

Authors: Simplice A. Asongu, Joseph Nnanna and Vanessa S. Tchamyou

Editor’s introduction

Authors: Gang Kou

Impact of risk management strategies on the credit risk faced by commercial banks of Balochistan

This study aims to identify risk management strategies undertaken by the commercial banks of Balochistan, Pakistan, to mitigate or eliminate credit risk. The findings of the study are significant as commercial...

Authors: Zia Ur Rehman, Noor Muhammad, Bilal Sarwar and Muhammad Asif Raz

Introduction to the special issue on FinTech

Authors: Gang Kou

Industry- and liquidity-based momentum in Australian equities

This study examined momentum profitability in Australia, providing further evidence for intermediate-term momentum profitability. Using data spanning different market states, we found that momentum was stronge...

Authors: Yeng May Tan and Fan Fah Cheng

Evaluation of forecasting methods from selected stock market returns

Forecasting stock market returns is one of the most effective tools for risk management and portfolio diversification. There are several forecasting techniques in the literature for obtaining accurate forecast...

Authors: M. Mallikarjuna and R. Prabhakara Rao

Effect of family control on corporate dividend policy of firms in Pakistan

This study examines the impact of family control on the dividend policy of firms in Pakistan, covering the period from 2009 to 2016. It also investigates whether family control moderates the impact of firm-spe...

Authors: Imran Yousaf, Shoaib Ali and Arshad Hassan

The relative importance of competition to contagion: evidence from the digital currency market

How does the valuation change of an industry leader influence its competitors? Does it induce a competitive effect or a contagion effect? What are the driving forces of such influences? We attempted to answer ...

Authors: Peng Xie, Jiming Wu and Hongwei Du

Savings, investment, and growth in Nepal: an empirical analysis

This study analyzes the relationship between savings, investment, and economic growth in Nepal over 1975–2016. The structural breaks in the variables have been accounted for using the (Zivot and Andrews’s, J B...

Authors: Aadersh Joshi, Sumit Pradhan and Jagadish Prasad Bist

A chemical-reaction-optimization-based neuro-fuzzy hybrid network for stock closing price prediction

Accurate prediction of stock market behavior is a challenging issue for financial forecasting. Artificial neural networks, such as multilayer perceptron have been established as better approximation and classi...

Authors: Sarat Chandra Nayak and Bijan Bihari Misra

Does abnormal lending behavior increase bank riskiness? Evidence from Turkey

This study empirically analyzes whether the rapid growth of loans and risk-taking behavior during the expansion of loans affected non-performing loans (NPLs) and the solvency of financial institutions in the T...

Authors: Farrukh Shahzad, Zeeshan Fareed, Bushra Zulfiqar, Umme Habiba and Muhammad Ikram

Testing the relationship between financial sector output, employment and economic growth in North Cyprus

Sound and efficient functioning of financial systems is critical to the economic prosperity of any economy. This paper investigates the tripartite relationship between financial sector output, employment and e...

Authors: Behiye Cavusoglu, Saifullahi Sani Ibrahim and Huseyin Ozdeser

An integrated new threshold FCMs Markov chain based forecasting model for analyzing the power of stock trading trend

This paper explores the power of stock trading trend using an integrated New Threshold Fuzzy Cognitive Maps (NTFCMs) Markov chain model. This new model captures the positive as well as the negative jumps and p...

Authors: Kavitha Ganesan, Udhayakumar Annamalai and Nagarajan Deivanayagampillai

Publisher Correction to: Financial innovation, volume 5

An error occurred during the publication of a number of articles in Financial Innovation. Several articles were published in volume 5 with a duplicate citation number.

Authors:

Co-movement in crypto-currency markets: evidences from wavelet analysis

We study the time varying co-movement patterns of the crypto-currency prices with the help of wavelet-based methods; employing daily bilateral exchange rate of four major crypto-currencies namely Bitcoin, Ethe...

Authors: Anoop S Kumar and Taufeeq Ajaz

Assessing the spillover effects of U.S. monetary policy normalization on Nigeria sovereign bond yield

This study examines the spillover effects of U.S. monetary policy normalization on Nigeria 10-Year Treasury bond yield between 2011 and 2017, using the vector error correction model approach. Our results revea...

Authors: Kpughur Moses Tule, Osana Jackson Odonye, Udoma Johnson Afangideh, Godday Uwawunkonye Ebuh, Elijah Abasifreke Paul Udoh and Augustine Ujunwa

Do migrant remittances matter for financial development in Kenya?

The paper analyzes the relationship between remittances and financial development using Kenyan quarterly data from 2006 to 2016. Five different indicators of financial development are used: credit to the priva...

Authors: Roseline Nyakerario Misati, Anne Kamau and Hared Nassir

A hybrid Bayesian-network proposition for forecasting the crude oil price

This paper proposes a hybrid Bayesian Network (BN) method for short-term forecasting of crude oil prices. The method performed is a hybrid, based on both the aspects of classification of influencing factors as...

Authors: Babak Fazelabdolabadi

Stock market and macroeconomic variables: new evidence from India

Understanding the relationship between macroeconomic variables and the stock market is important because macroeconomic variables have a systematic effect on stock market returns. This study uses monthly data f...

Authors: R. Gopinathan and S. Raja Sethu Durai

Editor’s introduction

Authors: Gang Kou

A systematic review of blockchain

Blockchain is considered by many to be a disruptive core technology. Although many researchers have realized the importance of blockchain, the research of blockchain is still in its infancy. Consequently, this...

Authors: Min Xu, Xingtong Chen and Gang Kou

The interaction effect of foreign capital inflows and financial development on economic welfare in sub-Saharan Africa

This study examines the interaction effects of foreign capital inflows and financial development on economic welfare in sub-Saharan Africa (SSA). Estimates based on the system-GMM estimator using panel data on...

Authors: Kwame Acheampong

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