Articles
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Citation: Financial Innovation 2024 10:136
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A comparison of cryptocurrency volatility-benchmarking new and mature asset classes
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 t...
Citation: Financial Innovation 2024 10:122 -
How likely is it to beat the target at different investment horizons: an approach using compositional data in strategic portfolios
Strategic portfolios are asset combinations designed to achieve investor objectives. A unique feature of these investments is that portfolios must be rebalanced periodically to maintain the initially establish...
Citation: Financial Innovation 2024 10:125 -
Portfolio management under capital market frictions: a grey clustering approach
International portfolio management is influenced by the existence of “frictions”, factors or events that interfere with trade, which are linked in financial literature to market-specific factors, such as avail...
Citation: Financial Innovation 2024 10:110 -
Analyzing time–frequency connectedness between cryptocurrencies, stock indices, and benchmark crude oils during the COVID-19 pandemic
We used daily return series for three pairs of datasets from the crude oil markets (WTI and Brent), stock indices (the Dow Jones Industrial Average and S&P 500), and benchmark cryptocurrencies (Bitcoin and Eth...
Citation: Financial Innovation 2024 10:119 -
Investor sentiment and the holiday effect in the cryptocurrency market: evidence from China
This study employs a fixed-effects model to investigate the holiday effect in the cryptocurrency market, using trading data for the top 100 cryptocurrencies by market capitalization on Coinmarketcap.com from J...
Citation: Financial Innovation 2024 10:113 -
Estimation of default and pricing for invoice trading (P2B) on crowdlending platforms
This study developed several machine learning models to predict defaults in the invoice-trading peer-to-business (P2B) market. Using techniques such as logistic regression, conditional inference trees, random ...
Citation: Financial Innovation 2024 10:109 -
Does a higher hashrate strengthen Bitcoin network security?
In the blockchain world, proof-of-work is the dominant protocol mechanism that determines the consensus of the ledger. The hashrate, a measure of the computational power directed toward securing a blockchain t...
Citation: Financial Innovation 2024 10:79 -
Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers
This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin...
Citation: Financial Innovation 2024 10:133 -
Stock return prediction with multiple measures using neural network models
In the field of empirical asset pricing, the challenges of high dimensionality, non-linear relationships, and interaction effects have led to the increasing popularity of machine learning (ML) methods. This st...
Citation: Financial Innovation 2024 10:72 -
Stock price index analysis of four OPEC members: a Bayesian approach
This study examines the relationship between macroeconomic variables and stock price indices of four prominent OPEC oil-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR)...
Citation: Financial Innovation 2024 10:134 -
Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies: fresh evidence from intra-day-based good and bad volatilities
This study examines the nexus between the good and bad volatilities of three technological revolutions—financial technology (FinTech), the Internet of Things, and artificial intelligence and technology—as well...
Citation: Financial Innovation 2024 10:89 -
When you need them, they are not there: hedge capacities of cryptocurrencies disappear in downtrend markets
We provide empirical evidence supporting the economic reasoning behind the impossibility of diversification benefits and the hedge attributes of cryptocurrencies remaining in force during the downside trends o...
Citation: Financial Innovation 2024 10:112 -
How do emotions affect giving? Examining the effects of textual and facial emotions in charitable crowdfunding
Drawing on emotional contagion theory and language-mediated association theory, this study develops a research model to examine how textual and facial emotions affect charitable crowdfunding performance. We us...
Citation: Financial Innovation 2024 10:108 -
On the robust drivers of cryptocurrency liquidity: the case of Bitcoin
This study aims to identify the factors that robustly contribute to Bitcoin liquidity, employing a rich range of potential determinants that represent unique characteristics of the cryptocurrency industry, inv...
Citation: Financial Innovation 2024 10:69 -
Price dynamics and volatility jumps in bitcoin options
In the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options, which is timely and important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoi...
Citation: Financial Innovation 2024 10:132 -
Managing crash risks through supply chain transparency: evidence from China
Using data on Chinese non-financial listed firms covering 2009 to 2022, we explore the effect of supply chain transparency on stock price crash risk. Two proxies for supply chain transparency are constructed u...
Citation: Financial Innovation 2024 10:126 -
The implications of the ecological footprint and renewable energy usage on the financial stability of South Asian countries
This study explores the complex relationships involving ecological footprints, energy use, carbon emissions, governance efficiency, economic prosperity, and financial stability in South Asian nations spanning ...
Citation: Financial Innovation 2024 10:102 -
Connectedness of cryptocurrency markets to crude oil and gold: an analysis of the effect of COVID-19 pandemic
The notion that investors shift to gold during economic market crises remains unverified for many cryptocurrency markets. This paper investigates the connectedness between the 10 most traded cryptocurrencies a...
Citation: Financial Innovation 2024 10:68 -
An evaluation of the adequacy of Lévy and extreme value tail risk estimates
This study investigates the simplicity and adequacy of tail-based risk measures—value-at-risk (VaR) and expected shortfall (ES)—when applied to tail targeting of the extreme value (EV) model. We implement Lévy...
Citation: Financial Innovation 2024 10:100 -
The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis
As the crypto-asset ecosystem matures, the use of high-frequency data has become increasingly common in decentralized finance literature. Using bibliometric analysis, we characterize the existing cryptocurrenc...
Citation: Financial Innovation 2024 10:90 -
The power of financial support in accelerating digital transformation and corporate innovation in China: evidence from banking and capital markets
This study explores the role of financial support in the digital transformation of Chinese A-share-listed companies from 2001 to 2020. By utilizing the moderating effect model and threshold regression model, t...
Citation: Financial Innovation 2024 10:76 -
Forecasting relative returns for S&P 500 stocks using machine learning
Forecasting changes in stock prices is extremely challenging given that numerous factors cause these prices to fluctuate. The random walk hypothesis and efficient market hypothesis essentially state that it is...
Citation: Financial Innovation 2024 10:118 -
A firm-specific Malmquist productivity index model for stochastic data envelopment analysis: an application to commercial banks
In the data envelopment analysis (DEA) literature, productivity change captured by the Malmquist productivity index, especially in terms of a deterministic environment and stochastic variability in inputs and ...
Citation: Financial Innovation 2024 10:66 -
Tokenomics in the Metaverse: understanding the lead–lag effect among emerging crypto tokens
The convergence of blockchain and immersive technologies has resulted in the popularity of Metaverse platforms and their cryptocurrencies, known as Metaverse tokens. There has been little research into tokenom...
Citation: Financial Innovation 2024 10:88 -
Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms o...
Citation: Financial Innovation 2024 10:85 -
Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications
We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for different quantiles employing a time-varying parameter vector autoregression approach. We find that lower and upper...
Citation: Financial Innovation 2024 10:71 -
Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset
This study examines the market efficiency in the prices and volumes of transactions of 41 cryptocurrencies. Specifically, the correlation dimension (CD), Lyapunov Exponent (LE), and approximate entropy (AE) we...
Citation: Financial Innovation 2024 10:82 -
The game of lies by stock investors in social media: a study based on city lockdowns in China
The potential hypotheses for finance research based on social media sentiment revolve around the reliability of investor sentiment expressed on social media and the causal relationship between financial market...
Citation: Financial Innovation 2024 10:65 -
The credit card-augmented Divisia monetary aggregates: an analysis based on recurrence plots and visual boundary recurrence plots
In this paper, we compare the dynamics of the growth rates of the original Divisia monetary aggregates, the credit card-augmented Divisia monetary aggregates, and the credit card-augmented Divisia inside monet...
Citation: Financial Innovation 2024 10:106 -
Relationship between fintech by Google search and bank stock return: a case study of Vietnam
Due to the ongoing global debate regarding the relationship between fintech and banks, including developing countries, this study aims to investigate this relationship in the case of Vietnam, an emerging natio...
Citation: Financial Innovation 2024 10:123 -
Editor’s introduction
Citation: Financial Innovation 2024 10:120 -
Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the process of adjusting the relative...
Citation: Financial Innovation 2024 10:107 -
Optimal liquidation using extended trading close for multiple trading days
The extended trading close (ETC) provides institutional investors an opportunity to trade at the closing price after the regular trading session (RTS) and disclosing the order imbalances to other market partic...
Citation: Financial Innovation 2024 10:98 -
A comprehensive MCDM assessment for economic data: success analysis of maximum normalization, CODAS, and fuzzy approaches
The approach of evaluating the final scores of multi-criteria decision-making (MCDM) methods according to the strength of association with real-life rankings is interesting for comparing MCDM methods. This app...
Citation: Financial Innovation 2024 10:105 -
Global uncertainty and potential shelters: gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets
This article investigates five safe-haven asset responses from 2014 to 2022, including the unprecedented COVID-19 crisis, Russian invasion of Ukraine, and sharp US interest rate increases of 2015 and 2022. We ...
Citation: Financial Innovation 2024 10:67 -
Volatility contagion between cryptocurrencies, gold and stock markets pre-and-during COVID-19: evidence using DCC-GARCH and cascade-correlation network
The rapid rise of Bitcoin and its increasing global adoption has raised concerns about its impact on traditional markets, particularly in periods of economic turmoil and uncertainty such as the COVID-19 pandem...
Citation: Financial Innovation 2024 10:104 -
An innovative machine learning workflow to research China’s systemic financial crisis with SHAP value and Shapley regression
This study proposed a cutting-edge, multistep workflow and upgraded it by addressing its flaw of not considering how to determine the index system objectively. It then used the updated workflow to identify the...
Citation: Financial Innovation 2024 10:103 -
Market risk spillover and the asymmetric effects of macroeconomic fundamentals on market risk across Vietnamese sectors
Global economic downturns and multiple extreme events threaten Vietnam's economy, leading to a surge in stock market risk and significant spillovers. This study investigates market risk spillovers and explores...
Citation: Financial Innovation 2024 10:95 -
Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH
This study examines the dynamic connectedness and hedging opportunities between CSI300 (China Security Index 300) and copper, gold, PTA (purified terephthalic acid), and soybean in China from January 09, 2008,...
Citation: Financial Innovation 2024 10:52 -
Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model
This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time-varying parameter vector autoregressions approach. ...
Citation: Financial Innovation 2024 10:101 -
Do US states’ responses to COVID-19 restore investor sentiment? Evidence from S&P 500 financial institutions
This paper specifically investigates the effects of US government emergency actions on the investor sentiment–financial institution stock returns relationship. Despite attempts by many studies, the literature ...
Citation: Financial Innovation 2024 10:99 -
A structural VAR and VECM modeling method for open-high-low-close data contained in candlestick chart
The structural modeling of open-high-low-close (OHLC) data contained within the candlestick chart is crucial to financial practice. However, the inherent constraints in OHLC data pose immense challenges to its...
Citation: Financial Innovation 2024 10:97 -
Can ETFs affect U.S. financial stability? A quantile cointegration analysis
This study evaluates whether exchange traded funds (ETFs) threaten financial market stability by testing two hypotheses relating the growing importance of ETFs to increased market volatility and rising equity ...
Citation: Financial Innovation 2024 10:64 -
Time-varying spillovers in high-order moments among cryptocurrencies
This study uses high-frequency (1-min) price data to examine the connectedness among the leading cryptocurrencies (i.e. Bitcoin, Ethereum, Binance, Cardano, Litecoin, and Ripple) at volatility and high-order (...
Citation: Financial Innovation 2024 10:96 -
Examining user behavior with machine learning for effective mobile peer-to-peer payment adoption
Disruptive innovations caused by FinTech (i.e., technology-assisted customized financial services) have brought digital peer-to-peer (P2P) payments to the fore. In this challenging environment and based on the...
Citation: Financial Innovation 2024 10:94 -
Cryptocurrency competition: empirical testing of Hayek’s vision of private monies
This study investigated the extent of currency competition within the cryptocurrency market through the Hayek’s concept of the denationalization of money. Hayek’s original analysis primarily centered on compet...
Citation: Financial Innovation 2024 10:93 -
Does the issuance of green bonds nudge environmental responsibility engagements? Evidence from the Chinese green bond market
Policymakers and managers have increasingly adopted green bonds as a direct financing tool to address environmental degradation and climate change in emerging economies; however, the increasing green washing s...
Citation: Financial Innovation 2024 10:92 -
Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes
The main objective of this study is to investigate tail risk connectedness among six major cryptocurrency markets and determine the extent to which investor sentiment, economic conditions, and economic uncerta...
Citation: Financial Innovation 2024 10:77 -
Mediating effect of firm efficiency on the controlling shareholdings–firm performance nexus: evidence from public listed firms in Malaysia
This study examines how controlling shareholders influence firm performance through the mediating role of firm efficiency in transforming inputs into outputs. To achieve this objective, it conducts a mediation...
Citation: Financial Innovation 2024 10:47
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- ISSN: 2199-4730 (electronic)