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The meaning of structural breaks for risk management: new evidence, mechanisms, and innovative views for the post-COVID-19 era Quantitative Finance and Economics Pub Date : 2022-01-01 Chikashi Tsuji
This paper quantitatively reveals the meaning of structural breaks for risk management by analyzing US and major European banking sector stocks. Applying newly extended Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity models, we supply the following new evidence. First, we find that incorporating structural breaks is always effective in estimating banking stock volatilities
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Assessing the safe haven properties of oil in African stock markets amid the COVID-19 pandemic: a quantile regression analysis Quantitative Finance and Economics Pub Date : 2022-01-01 Emmanuel Assifuah-Nunoo,Peterson Owusu Junior,Anokye Mohammed Adam,Ahmed Bossman
Using the quantile regression approach to reveal the conditional relationships, the study re-examined the oil-stock co-movement in the context of oil-exporting countries in Africa. The data employed include daily OPEC basket price for crude oil and daily data on stock market indices for six major stock markets of oil-exporting economies in Africa—Egypt, Ghana, Morocco, Nigeria, South Africa, and Tunisia
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Availability heuristic and reversals following large stock price changes: evidence from the FTSE 100 Quantitative Finance and Economics Pub Date : 2022-01-01 Diogo Matos,Luís Pacheco,Júlio Lobão
This paper examines if investors exhibited evidence of the availability heuristic in their investment decisions when significant price changes occurred in the British stock market during the 2010–2018 period. We raise the hypothesis that if a significant stock price move takes place on a day when the stock market index also undergoes a significant change (either positive or negative), then the magnitude
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Pricing and hedging bond options and sinking-fund bonds under the CIR model Quantitative Finance and Economics Pub Date : 2022-01-01 Manuela Larguinho,José Carlos Dias,Carlos A. Braumann
This article derives simple closed-form solutions for computing Greeks of zero-coupon and coupon-bearing bond options under the CIR interest rate model, which are shown to be accurate, easy to implement, and computationally highly efficient. These novel analytical solutions allow us to extend the literature in two other directions. First, the static hedging portfolio approach is used for pricing and
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VaR as a mitigating risk tool in the maritime sector: An empirical approach on freight rates Quantitative Finance and Economics Pub Date : 2022-01-01 Basdekis Charalampos,Katsampoxakis Ioannis,Gkolfinopoulos Alexandros
Shipping freight rates fluctuation is considered as one of the most important risk factors that participants face in the tanker shipping market (ship-owners, charterers, traders, hedge funds, banks and other financial institutions) in order to watch its evolution. This study examines freight rates for two of the most popular clean and dirty tanker routes; TC2 and TD3 from 22 May 2007 to 21 September
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Pricing hybrid-triggered catastrophe bonds based on copula-EVT model Quantitative Finance and Economics Pub Date : 2022-01-01 Longfei Wei,Lu Liu,Jialong Hou
This paper presents a hybrid-triggered catastrophe bond (CAT bond) pricing model. We take earthquake CAT bonds as an example for model construction and numerical analysis. According to the characteristics of earthquake disasters, we choose direct economic loss and magnitude as trigger indicators. The marginal distributions of the two trigger indicators are depicted using extreme value theory, and the
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Asymmetric interdependencies between cryptocurrency and commodity markets: the COVID-19 pandemic impact Quantitative Finance and Economics Pub Date : 2022-01-01 Francisco Jareño,María De La O González,Pascual Belmonte
Using NARDL methodology, this research investigates some asymmetric and non-linear interconnections between leading cryptocurrency and commodity returns. Thus, this study explores potential interconnections between these cryptocurrencies and commodity markets in the period between March 07, 2018, and March 26, 2021. This paper splits the entire sample period into two independent sub-periods in order
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Efficacy of monetary policy in a currency union? Evidence from Southern Africa's Common Monetary Area Quantitative Finance and Economics Pub Date : 2022-01-01 Bonang N. Seoela
The Common Monetary Area (CMA) agreement has effectively granted the South African government sole discretion over monetary policy and implementation in the region. The effectiveness of this arrangement has long been under discussion given the heterogeneity of member countries. This paper uses a structural vector autoregressive (SVAR) to examine the efficacy of the interest rate channel in the CMA
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Modeling exchange rate volatility: application of GARCH models with a Normal Tempered Stable distribution Quantitative Finance and Economics Pub Date : 2022-01-01 Sahar Charfi,Farouk Mselmi
The aim of this paper is to examine exchange rate volatility using GARCH models with a new innovation distribution, the Normal Tempered Stable. We estimated daily exchange rate volatility using different distributions (Normal, Student, NIG) in order to specify the performed model. In addition, a forecasting analysis is performed to check which distribution reveals the best out-of-sample results. We
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Longevity risk analysis: applications to the Italian regional data Quantitative Finance and Economics Pub Date : 2022-01-01 Salvatore Scognamiglio
Longevity risk is the risk that members of a given population will live longer than expected. When it occurs, pension providers may have to pay pensions for longer than expected, significantly increasing their costs. While this risk is being adequately studied using the national mortality data provided by the Human Mortality Database, relatively few studies exist that analyse sub-national data. This
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FDI Escapism: the effect of home country risks on outbound investment in the global economy Quantitative Finance and Economics Pub Date : 2022-01-01 Osarumwense Osabuohien-Irabor,Igor M. Drapkin
Over the past few decades, large numbers of literatures in behavior finance have examined firm's internationalization motives, with focused on how host country's risk components affect investment inflow. But the effects of home country risk on investment outflow remain unexamined. Therefore, based on the conceptualization of FDI escapism and the combine frameworks of Dunning's eclectic paradigm and
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Meta-analysis identifying epithelial-derived transcriptomes predicts poor clinical outcome and immune infiltrations in ovarian cancer. Quantitative Finance and Economics Pub Date : 2021-07-30 Dong-Feng Li,Aisikeer Tulahong,Md Nazim Uddin,Huan Zhao,Hua Zhang
BACKGROUND Previous studies revealed that the epithelial component is associated with the modulation of the ovarian tumor microenvironment (TME). However, the identification of key transcriptional signatures of laser capture microdissected human ovarian cancer epithelia remains lacking. METHODS We identified the differentially expressed transcriptional signatures of human ovarian cancer epithelia by
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A survey on deep learning for financial risk prediction Quantitative Finance and Economics Pub Date : 2021-01-01 Kuashuai Peng,Guofeng Yan
The rapid development of financial technology not only provides a lot of convenience to people's production and life, but also brings a lot of risks to financial security. To prevent financial risks, a better way is to build an accurate warning model before the financial risk occurs, not to find a solution after the outbreak of the risk. In the past decade, deep learning has made amazing achievements
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Paradox in deviation measure and trap in method improvement—take international comparison as an example Quantitative Finance and Economics Pub Date : 2021-01-01 Dong Qiu,Dongju Li
Due to the problem of "true value agnostic" in the measurement of the real world, people believe that the existing methods can be closer to the true value by improving them. Therefore, they are willing to excessively affirm the more advanced method and deny the relatively "traditional" method. Taking the exchange rate method and purchasing power parity method commonly used in international economic
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Threshold effects of financialization on enterprise R & D innovation: a comparison research on heterogeneity Quantitative Finance and Economics Pub Date : 2021-01-01 Tinghui Li,Xue Li,Khaldoon Albitar
By taking samples of 1221 non-financial listed companies in China from 2010 to 2019, threshold effects of financialization on enterprise R&D innovation, as well as heterogeneous impacts of the threshold effects in different enterprise types are analyzed by using panel threshold model. The research shows that there are threshold effects of financialization on enterprise R&D innovation, and these threshold
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Using accounting measures of (in)tangibility for organizational classifications Quantitative Finance and Economics Pub Date : 2021-01-01 Tiago Cardão-Pito,Julia A Smith,João da Silva Ferreira
We present an empirical test of a new measure to classify organizations according to the tangibility of product (output) flows delivered to customers. Our measure exhibits the empirical consequences of using standard industrial classifications to assume that firms within the same industry either share identical properties or sell homogeneous products. To illustrate the misleading findings that can
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Optimal sequencing to reform the European economic and Monetary Union: a roadmap Quantitative Finance and Economics Pub Date : 2021-01-01 Bodo Herzog
In this paper, we examine the political gridlock in reforming the Economic and Monetary Union. We utilize a two–stage game with imperfect information in order to study the optimal sequencing. The main results are: first, optimal sequencing requires for incompliant Member States a default option in stage–two, which in principle is related to the today's fiscal architecture (EMU-I). Second, we show that
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Robust optimal excess-of-loss reinsurance and investment problem with p-thinning dependent risks under CEV model Quantitative Finance and Economics Pub Date : 2021-01-01 Lei Mao,Yan Zhang
This paper is devoted to study a robust optimal excess-of-loss reinsurance and investment problem with p -thinning dependent risks for an ambiguity-averse insurer (AAI). Assume that the AAI's wealth process consists of two p -thinning dependent classes of insurance business. The AAI is allowed to purchase excess-of-loss reinsurance and invest in a financial market consisting of one risk-free asset
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Estimating market index valuation from macroeconomic trends Quantitative Finance and Economics Pub Date : 2021-01-01 Andrea Afify,Hector Eduardo Roman
We discuss USA stock market data from 1789 until 2020, focusing our attention on the S&P 500 index (1957–2020). We find that the data can be split into two periods, (1789–1948) and (1948–2020), displaying roughly 2% and 7% growth rates, respectively. The index variations from each trend appear similar, suggesting some degree of stationarity in market fluctuations. We then correlate market behavior
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Leverage and performance: the case of the U.S. hospitality industry Quantitative Finance and Economics Pub Date : 2021-01-01 Conrado Diego García-Gómez,Mehmet Huseyin Bilgin,Ender Demir,José María Díez-Esteban
This study analyzes the leverage and performance relationship in the context of the U.S. hospitality industry. We consider that, studying this traditional corporate finance issue in the context of the hospitality industry, is relevant due to its unique characteristics in terms of capital structure and value creation. In addition to Ordinary Least Squares (OLS) and Fixed-Random effects (FE-RE) estimations
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COVID-19: data-driven dynamic asset allocation in times of pandemic Quantitative Finance and Economics Pub Date : 2021-01-01 Anna Timonina-Farkas
The COVID-19 pandemic has demonstrated the importance and value of multi-period asset allocation strategies responding to rapid changes in market behavior. In this article, we formulate and solve a multi-stage stochastic optimization problem, choosing the indices' optimal weights dynamically in line with a customized data-driven Bellman's procedure. We use basic asset classes (equities, fixed income
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Comparing ask and transaction prices in the Swiss housing market Quantitative Finance and Economics Pub Date : 2021-01-01 Diego Ardila,Ahmed Ahmed,Didier Sornette
We analyze the relationship between ask and transaction prices in the Swiss residential real estate market over the 2005-2015 period. First, we present strong evidence that ask and transaction prices are co-integrated across different market segments, but they do not Granger-cause one another. Second, we analyze the cross-sectional distributions of ask and transaction prices/per living space and conclude
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Commodity-linked bonds as an innovative financing instrument for African countries to build back better Quantitative Finance and Economics Pub Date : 2021-01-01 Joseph Atta-Mensah
Commodity-linked bond, a type of state contingent claims, presents an innovative tool for African countries to mobilize resources on the international capital markets. Given their colossal financing needs, which has been worsened by the COVID-19 pandemic, African countries need to put in place innovative financing mechanisms to support their development frameworks for building back better. The issuing
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The relationship between asset and capital structure: a compositional approach with panel vector autoregressive models Quantitative Finance and Economics Pub Date : 2021-01-01 Miquel Carreras-Simó,Germà Coenders
The companies' investment and financing policies are dynamically interrelated and there is no general consensus about the direction of this relationship. There are theoretical arguments and empirical evidence supporting both possible directions, which makes panel vector autoregressive models an appropriate tool. However, the financial ratios normally used to assess this relationship empirically tend
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Learning about financial health in Canada Quantitative Finance and Economics Pub Date : 2021-01-01 Adam Metzler,Yuhao Zhou,Chuck Grace
This paper applies cluster analysis to eleven (continuous) years' worth of responses to the Canadian Payroll Association (CPA) survey of employed Canadians. The clustering algorithm clearly identifies three distinct groups of respondents. Between-group comparison of response patterns reveals that two of the groups lie on opposite sides of the financial health spectrum, and leads us to label their members
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Hedging with financial innovations in the Asia-Pacific markets during the COVID-19 pandemic: the role of precious metals Quantitative Finance and Economics Pub Date : 2021-01-01 Abdulsalam Abidemi Sikiru,Afees A. Salisu
In this study, we exploit the information contained in financial innovations in precious metals for hedging the risks associated with the Asia-Pacific equities during the current pandemic. We measure financial innovations as exchange traded funds (ETFs) for gold, silver, platinum and palladium which contrast with investment in the physical precious metals since the former tracks well the prices of
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Forward looking up-/down correlations Quantitative Finance and Economics Pub Date : 2021-01-01 Wolfgang Schadner
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An application of Regular Vine copula in portfolio risk forecasting: evidence from Istanbul stock exchange Quantitative Finance and Economics Pub Date : 2021-01-01 Cemile Özgür,Vedat Sarıkovanlık
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Return range and the cross-section of expected index returns in international stock markets Quantitative Finance and Economics Pub Date : 2021-01-01 Mehmet Umutlu,Pelin Bengitöz
This study examines the cross-sectional relation between return range and future returns for the first time in literature. We show that the return range can serve as a very practical measure of total volatility instead of standard deviation due to the range's high correlation with standard deviation and strong predictive ability. Range, standard deviation, and idiosyncratic volatility are cross-sectionally
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Are output fluctuations transitory or permanent? New evidence from a novel Global Multi-scale Modeling approach Quantitative Finance and Economics Pub Date : 2021-01-01 Mumtaz Ahmed,Muhammad Azam,Stelios Bekiros,Syeda Mahlaqa Hina
This paper provides new insights to the long-standing debate initiated by Nelson-Plosser (1982) regarding the mean reverting behaviour of real GDP per capita. The empirical analysis is based on wavelet framework introduced in Aydin and Pata Aydin (2020) which considers not only frequency domain along with time domain but also takes care of smooth structural changes ignored by earlier wavelet based
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Centralized vs. decentralized ledgers in the money supply process: a SWOT analysis Quantitative Finance and Economics Pub Date : 2021-01-01 Abderahman Rejeb,Karim Rejeb,John G. Keogh
This study aims to better understand the role of centralized and decentralized ledgers in the money supply process. The aim is to highlight the strengths, weaknesses, opportunities, and threats of these tools in the context of finance and banking. A thorough investigation of the prior literature was carried out using sources extracted from various academic databases. A SWOT analysis based on an integrative
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Does financial globalization uncertainty affect CO2 emissions? Empirical evidence from some selected SSA countries Quantitative Finance and Economics Pub Date : 2021-01-01 Ibrahim Sambo Farouq,Nuraddeen Umar Sambo,Ali Umar Ahmad,Aminu Hassan Jakada,Isma'il Aliyu Danmaraya
Based on the Environmental Kuznets's Curve theory, this study seeks to investigate the asymmetric relationship between the financial globalization uncertainty and the environmental quality alongside the test of Kuznets's hypothesis. The research covers the data set of nine Sub Saharan African countries from 1980-2019. The Kuznets's hypothesis of the relationship between economic growth and the environment
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Liquidity risk and bank performance in Southeast Asian countries: a dynamic panel approach Quantitative Finance and Economics Pub Date : 2021-01-01 Tram Thi Xuan Huong,Tran Thi Thanh Nga,Tran Thi Kim Oanh
This study uses unbalanced panel data from Bankscope from 171 banks in 9 countries in Southeast Asia over the period 2004–2016 and the Generalized Method of Moments (SGMM) to analyze the impact of liquidity risk on bank performance in Southeast Asian countries. The results show that liquidity risk has a positive effect on the performance of banks or that most banks with good performance have a high
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Relative mispricing and takeover likelihood Quantitative Finance and Economics Pub Date : 2021-01-01 Keming Li
This paper examines the effect of acquirer likelihood on future stock returns. In sharp contrast to prior findings, acquirer likelihood is a strong and negative predictor of cross-sectional future returns after controlling for target likelihood. If takeover exposure represents a risk premium, the effect on stock valuation should only present in either likelihood measure (acquirer or target likelihood)
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Venture capital backing: financial policies and persistence over time Quantitative Finance and Economics Pub Date : 2021-01-01 Antonio Gledson de Carvalho,Pinheiro Roberto,Sampaio Joelson
The present article seeks to analyze the financial policies of companies backed by Private Equity and Venture Capital funds (PE/VC). Our sample consists of firms completing an initial public offering between January 1991 and December 2000. Our hypotheses relate to the difference between VC and non-VC-backed firms in terms of financial policies and their persistence. We use four measures to evaluate
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The effect of COVID-19 pandemic on residential real estate prices: Turkish case Quantitative Finance and Economics Pub Date : 2021-01-01 Selahattin Kaynak,Aykut Ekinci,Havvanur Feyza Kaya
This study investigates the effect of the COVID-19 pandemic on the residential real estate prices in Turkey. This study indicates the effect of COVID-19, loan package, macroeconomic and behavioral control variables on abnormal returns of residential real estate prices during the event window. This study consists of three econometric steps. Firstly, the abnormal returns of the residential real estate
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Equity premium prediction: keep it sophisticatedly simple Quantitative Finance and Economics Pub Date : 2021-01-01 Anwen Yin
Following the keep-it-sophisticatedly-simple principle, KISS, we propose using the averaging window approach to forecast the market equity premium in unstable environments. First, the estimation methodology of averaging window is a theoretically justified method robust to uncertainties on structural breaks and estimation window sizes. Second, the averaging window method has the obvious advantages of
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Physical approach to elucidate stability and instability issues, and Elliott waves in financial systems: S & P-500 index as case study Quantitative Finance and Economics Pub Date : 2021-01-01 Güngör Gündüz
The dynamics of financial systems depends not only on Brownian motion but also on wave-like behavior of fluctuations. Statistical mechanics and viscoelastic theory were used to elucidate it by using the daily data of S & P-500 from 1986 to 2019. The viscoelastic behavior of asset values or stock market index can be studied within the basis of "cause-and-effect" principle by using scattering diagram
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Exchange rates and stock markets in emerging economies: new evidence using the Quantile-on-Quantile approach Quantitative Finance and Economics Pub Date : 2021-01-01 Korhan Gokmenoglu,Baris Memduh Eren,Siamand Hesami
This study aims to reconsider the relationship between exchange rate and stock market returns for selected emerging countries. The quantile-on-quantile approach is employed to present an inclusive and detailed image of the association between the variables under investigation. This approach can reveal the heterogeneous and the varying relationship between the variables at different quantiles. The estimation
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On macroeconomic determinants of co-movements among international stock markets: evidence from DCC-MIDAS approach Quantitative Finance and Economics Pub Date : 2021-01-01 Arifenur Güngör,Hüseyin Taştan
This study aims to examine the macro-financial dynamics of the time-varying co-movements between the daily stock market returns of G7 and BRICS-T countries using a two-step procedure. Firstly, we decompose the dynamic conditional correlations between the daily stock market returns into the short-term (daily) and the long-term (quarterly) components using the DCC-MIDAS (Dynamic Conditional Correlation-Mixed
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Intellectual capital and high-tech firms' financing choices in the European context: a panel data analysis Quantitative Finance and Economics Pub Date : 2021-01-01 Filipe Sardo,Zélia Serrasqueiro
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Constant leverage certificates: dynamics, performance, and risk-return characteristics Quantitative Finance and Economics Pub Date : 2020-01-01 Vladimir Anic
This paper analyzes a relatively new investment product named as constant leverage certificate (CLC), which is designed to provide a multiple of the return of its underlying asset on a daily basis. Based on the literature on leveraged ETFs, which have a similar design, it is well-known that such a strategy does not reproduce the corresponding multiple of the underlying in the long run. But due to the
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Forecasting the movements of Bitcoin prices: an application of machine learning algorithms Quantitative Finance and Economics Pub Date : 2020-01-01 Hakan Pabuçcu,Serdar Ongan,Ayse Ongan
Cryptocurrencies, such as Bitcoin, are one of the most controversial and complex technological innovations in today’s financial system. This study aims to forecast the movements of Bitcoin prices at a high degree of accuracy. To this aim, four different Machine Learning (ML) algorithms are applied, namely, the Support Vector Machines (SVM), the Artificial Neural Network (ANN), the Naive Bayes (NB)
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Cheap signals in security token offerings (STOs) Quantitative Finance and Economics Pub Date : 2020-01-01 Lennart Ante,Ingo Fiedler
Blockchain-based security token offerings (STOs) provide a new way of crowdfunding and corporate financing. Tokens are immediately transferable and can be traded 24/7 on secondary markets, clearing and settlement is a matter of only a few minutes, tokens can be held personally, i.e. brokers and custody accounts are no longer required and the underlying blockchain ensures transparency of all transactions
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Is financial development good for economic growth? Empirical insights from emerging European countries Quantitative Finance and Economics Pub Date : 2020-01-01 Iuliana Matei
The impact of financial development on economic growth has been extensively debated in the literature since the seminal paper of Schumpeter (1934) considering finance as an engine of economic growth through its effects on innovative investments. However, recent empirical literature casts some doubts on this relationship and repcorts a minor role of financial development in driving economic growth or
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Extension of SABR Libor Market Model to handle negative interest rates Quantitative Finance and Economics Pub Date : 2020-01-01 Jie Xiong, Corporate Model Risk, Wells Fargo, 1753 Pinnacle Dr, Fl 6, Mc Lean, VA 22102, USA, Geng Deng, Xindong Wang
Variations of Libor Market Model (LMM), including Constant Elasticity of Variance-LMM (CEV-LMM) and Stochastic Alpha-Beta-Rho LMM (SABR-LMM), have become popular for modeling interest rate term structure. Nevertheless, the limitation of applying CEV-/SABR-LMM to model negative interest rates still exists. In this paper, we adopt the approach of Free-Boundary SABR (FB-SABR), which is an extension based
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A nonlinear adjustment in real exchange rates under transaction costs hypothesis in developed and emerging countries Quantitative Finance and Economics Pub Date : 2020-01-01 Ramzi Drissi, 1 College of Islamic Economics and Finance, Umm al Qura University, Saudi Arabia, Jamel Boukhatem, 2 Department of Quantitative Methods, University of Carthage, Carthage, Tunisia, 3 Department of Economics, Faculty of Economic Sciences and Management FSEGT, University of Tunis el Manar, El-Manar 2 City, Tunisia
This paper tries to empirically examine the exchange rate deviations to its level under the purchasing power parity (PPP) and transaction costs hypotheses using a battery of newly developed nonlinear approaches. To explain the persistent differences in exchange rates, we use the half-life function analysis with quarterly data over the period 1988Q1–2018Q2 for a panel of 23 developed and emerging countries
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Structural analysis of income and risk dynamics in models of economic growth Quantitative Finance and Economics Pub Date : 2020-01-01 Oleg S. Sukharev, Institute of Economics of the Russian Academy of Sciences, 32, Nakhimovsky prospekt, Moscow, 117218, Russian Federation
The purpose of the research is to carry out the structural analysis of income and risk dynamics when considering the problem of economic growth, to obtain and apply the structural formula to assess the contribution of GDP elements to growth rate. The methodological basis of the research consists of the theory of economic growth and structural analysis, optimization methods and computer simulation (algorithmization)
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On the comparative analysis of linear and nonlinear business cycle model: Effect on system dynamics, economy and policy making in general Quantitative Finance and Economics Pub Date : 2020-01-01 Firdos Karim, 1 Department of Mathematics, Amity Institute of Applied Sciences, Amity University, Noida Sector-125, 201301, India, Sudipa Chauhan, Joydip Dhar, 2 Department of Mathematics, Atal Bihari Vajpayee I. I. I. T. M, Gwalior(M. P), India
Research on linear and nonlinear IS-LM models has been resonating under synonymous perspectives, confined to bifurcations and intangible relations to economic work systems. Trifle discussion exists on how choice of linear/nonlinear models affects policy making and almost no elaboration on framing an economic system within a linear and nonlinear structure to analyze their effect separately. Parameters
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The levels of bank capital, risk and efficiency in the Eurozone and the U.S. in the aftermath of the financial crisis Quantitative Finance and Economics Pub Date : 2020-01-01 Dimitra Loukia Kolia, Department of Accounting and Finance, University of Macedonia, Thessaloniki, Greece, Simeon Papadopoulos
This study investigates the development of the levels of capital, risk and efficiency of the Eurozone and the U.S. banking institutions after the financial crisis. Concerning the methodology, we estimate bank efficiency by applying Data Envelopment Analysis. We estimate bank capital by employing the ratio of the value of total equity to total assets and the Z-score is used as an indicator of bank risk
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Stock returns and calendar anomalies on the London Stock Exchange in the dynamic perspective of the Adaptive Market Hypothesis: A study of FTSE100 & FTSE250 indices over a ten year period Quantitative Finance and Economics Pub Date : 2020-01-01 Lucrezia Rosini, 1 University of Westminster, London W1 7BY, UK, Vijay Shenai, 2 University of Lincoln, Lincoln LN6 7TS, UK
This paper analyses the behaviour of stock returns and calendar anomalies over a ten year period: 2007–2016 on the London Stock Exchange, through two major indices, the FTSE100 and FTSE250. The efficiency of the indices and the presence of calendar anomalies are investigated with parametric and non-parametric tests. The two main indices of the UK stock market undergo changes from states of dependency
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The amplification of the New Keynesian models and robust optimal monetary policy Quantitative Finance and Economics Pub Date : 2020-01-01 Gülserim Özcan, Department of Economics, Atılım University, Ankara 06830, Turkey
This paper analyzes whether and how model uncertainty affects the amplification mechanism of the New Keynesian models in a simple min-max framework where the central bank plays a zero-sum game versus a hypothetical, evil agent. A first finding on a benchmark model with staggered price setting is that a robust optimal commitment policy necessitates more aggressive policy under a demand shock. Further
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Economic crisis as a consequence COVID-19 virus attack: risk and damage assessment Quantitative Finance and Economics Pub Date : 2020-01-01 Oleg S. Sukharev, Institute of Economics of the Russian Academy of Sciences, 32, Nakhimovsky prospekt, Moscow, 117218, Russian Federation
The purpose of the research is to reveal the mechanism of influence of coronavirus on the economic crisis and to develop a method for assessing threats and risks. Understanding the mechanism of generating an economic crisis allows to develop methods of anti-crisis government policy. The research methodology is based on structural analysis and taxonomic approach. Their application makes it possible
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The performance of ETFs on developed and emerging markets with consideration of regional diversity Quantitative Finance and Economics Pub Date : 2020-01-01 Krystian Zawadzki, Department of Finance, Faculty of Management and Economics, Gdansk University of Technology, Narutowicza 11/12, 80-233 Gdansk, Poland
This study evaluates the performance of Exchange-Traded Funds (ETFs) by using various tracking error calculation approaches. The aim of the paper is, on the one hand, an evaluation of the performance of ETFs relative to their benchmarking indexes and, on the other, an endeavour to specify any relationship between this performance and both geographical location and the degree of market development.
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Impact of the novel coronavirus on stock market returns: evidence from GCC countries Quantitative Finance and Economics Pub Date : 2020-01-01 Raéf Bahrini, Department of Accounting, College of Business, University of Jeddah, Jeddah, Saudi Arabia, Assaf Filfilan
The novel coronavirus (COVID-19) is not only an unprecedented human and health crisis, but it is expected to become one of the most economically costly pandemics in recent history. Latest financial reports indicate that the COVID-19 outbreak is severely disrupting the global economy and financial markets. Many equity markets around the world have endured heavy declines since the pandemic’s outbreak
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The determinants of main stock exchange index changes in emerging countries: evidence from Turkey in COVID-19 pandemic age Quantitative Finance and Economics Pub Date : 2020-01-01 Mustafa Tevfik Kartal, 1 Strategic Planning and Investor Relations Directorate in Borsa İstanbul, İstanbul, Turkey, Özer Depren, Serpil Kılıç Depren, 2 Customer Experience Researches Directorate in Yapı Kredi Bank, İstanbul, Turkey, 3 Department of Statistics, Yıldız Technical University, İstanbul, Turkey
With the emergence and spreading of COVID-19 pandemic all over the world, the uncertainty has been increasing for countries. Depending on this condition, especially emerging countries have been affected negatively by foreign portfolio investment outflows from stock exchanges, and main stock exchange indices have been collapsed. The study examines the causes of the main stock exchange index changes
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Use of derivatives, financial stability and performance in Turkish banking sector Quantitative Finance and Economics Pub Date : 2020-01-01 Dilvin Taşkın, Faculty of Business, Selcuk Yasar Campus, Yasar University, Universite Caddesi, Agacliyol, Izmir, Turkey, Görkem Sarıyer
Recent financial turmoil raised suspicions about the impact of derivatives usage on banking stability. Considering the period between 2007 and 2017, this paper analyzes the impact of derivatives on the financial stability and performance of the Turkish banking system. The stability of the banking is measured by considering the Z-index, which shows the probability of and calculated for each bank. The
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The impact of financial fragility on firm performance: an analysis of BIST companies Quantitative Finance and Economics Pub Date : 2020-01-01 Tolga Tuzcuoğlu, Department of Controlling and Budget Planning, Bosch Turkey & Middle East Headquarters, İnönü Cad. No:20 Ofispark A Blok, 34853, Maltepe, İstanbul, Turkey
This study analyzes the impact of financial fragility on firm performance through panel data regression models. In this context, financial fragility is represented by a selected set of nine different macroeconomic indicators as independent variables which are the real exchange rate of Turkish Lira, BIST 100 index, the ratios of short-term foreign debt to long-term foreign debt, exports to imports,
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Low-frequency relationship between money growth and inflation in Turkey Quantitative Finance and Economics Pub Date : 2020-01-01 Huseyin Tastan, Department of Economics, Yildiz Technical University, Istanbul, Turkey, Sercin Sahin
This paper examines the long-run and medium-run predictive relationship between money growth and inflation in Turkey for the period 1986m1–2018m12, using frequency-domain methods. For the full sample, the measures of spectral coherence and gain spectrum suggest a one-to-one relationship, and the frequency domain decomposition of the Granger causality test indicates a bidirectional predictive relationship
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The behavior of Sovereign Credit Default Swaps (CDS) spread: evidence from Turkey with the effect of Covid-19 pandemic Quantitative Finance and Economics Pub Date : 2020-01-01 Mustafa Tevfik Kartal, Strategic Planning and Investor Relations Directorate in Borsa İstanbul, İstanbul, Turkey
This study examines how sovereign CDS spreads of Turkey behave in Covid-19 pandemic times by considering that CDS spreads reflect the riskiness, vulnerability, financial stability, and macroeconomic stability of countries and CDS spreads of most of the emerging countries have increased with the emergence of Covid-19 pandemic. Therefore, the study focuses on the year 2020 which includes before Covid-19