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Time-varying window-based herding detection in the non-fungible token (NFT) marketplace China Finance Review International Pub Date : 2024-02-23 Eminda Ishan De Silva, Gayithri Niluka Kuruppu, Sandun Dassanayake
Purpose The non-fungible token (NFT) market had undergone dramatic growth and a sudden decline during 2021–2022. The market experienced a surge in prices in late 2021 and early 2022, with NFTs being sold at inflated prices. Despite this, by April 2022, the market underwent a correction, and the prices of NFTs returned to more reasonable levels. This can be a result of imitating the actions or judgments
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A novel granular decomposition based predictive modeling framework for cryptocurrencies' prices forecasting China Finance Review International Pub Date : 2024-01-08 Indranil Ghosh, Rabin K. Jana, Dinesh K. Sharma
Purpose Owing to highly volatile and chaotic external events, predicting future movements of cryptocurrencies is a challenging task. This paper advances a granular hybrid predictive modeling framework for predicting the future figures of Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Stellar (XLM) and Tether (USDT) during normal and pandemic regimes. Design/methodology/approach Initially, the major
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Extended model to explain customer attitude toward NFT and moderating effect of technology optimism China Finance Review International Pub Date : 2023-12-20 Won-jun Lee
Purpose This study empirically examined consumer adoption attitudes and behaviors toward nonfungible tokens (NFTs). Findings indicate that consumer attitudes toward NFTs are influenced by perceived usefulness, reliability and profit expectancy and that strong attitudes are associated with purchase intentions. Additionally, the relationship between attitudes and purchase intentions was moderated by
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Use it or lose it: fiscal year-end corporate investment around the world China Finance Review International Pub Date : 2023-12-18 Yong H. Kim, Bochen Li, Hyun-Han Shin, Wenfeng Wu
Purpose It is documented that companies and government agencies in the USA invest more in the fourth fiscal quarter without having higher investment opportunities. While previous studies focus on the agency conflicts and information asymmetry within organizations, this study is motivated by Scharfstein and Stein's (2000) two-tiered agency model and aims to examine how firms' external business environment
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Does the big boss of coins—Bitcoin—protect a portfolio of new-generation cryptos? Evidence from memecoins, stablecoins, NFTs and DeFi China Finance Review International Pub Date : 2023-12-05 Monika Chopra, Chhavi Mehta, Prerna Lal, Aman Srivastava
Purpose The purpose of this research is to primarily understand how crypto traders can use the Bitcoin as a hedge or safe haven asset to reduce their losses from crypto trading. The study also aims to provide insights to crypto investors (portfolio managers) who wish to maintain a crypto portfolio for the medium term and can use the Bitcoin to minimize their losses. The findings of this research can
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Investor sentiment and the NFT hype index: to buy or not to buy? China Finance Review International Pub Date : 2023-12-05 Valeriia Baklanova, Aleksei Kurkin, Tamara Teplova
Purpose The primary objective of this research is to provide a precise interpretation of the constructed machine learning model and produce definitive summaries that can evaluate the influence of investor sentiment on the overall sales of non-fungible token (NFT) assets. To achieve this objective, the NFT hype index was constructed as well as several approaches of XAI were employed to interpret Black
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On the prediction of stock price crash risk using textual sentiment of management statement China Finance Review International Pub Date : 2023-09-25 Xiao Yao, Dongxiao Wu, Zhiyong Li, Haoxiang Xu
Purpose Since stock return and volatility matters to investors, this study proposes to incorporate the textual sentiment of annual reports in stock price crash risk prediction. Design/methodology/approach Specific sentences gathered from management discussions and their subsequent analyses are tokenized and transformed into numeric vectors using textual mining techniques, and then the Naïve Bayes method
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Funding startups using contingent option of value appreciation: theory and formula China Finance Review International Pub Date : 2023-09-07 Shaun Shuxun Wang
Purpose This paper provides a structural model to value startup companies and determine the optimal level of research and development (R&D) spending by these companies. Design/methodology/approach This paper describes a new variant of float-the-money options, which can act as a financial instrument for financing R&D expenses for a specific time horizon or development stage, allowing the investor to
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Risk-taking by banks: evidence from European Union countries China Finance Review International Pub Date : 2023-08-14 Maria Teresa Medeiros Garcia, Ana Jin Ye
Purpose The aim of this paper is to study the relationship between banks' ownership structure and their risk-taking behavior as well as the impact of banking regulation on banks' approach to taking risk, after the 2008 financial crisis. Design/methodology/approach The empirical analysis considers a sample of listed banks from European Union (EU) countries, over the period of 2011–2016 and uses the
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Dynamic interlinkages between cryptocurrencies, NFTs, and DeFis and optimal portfolio investment strategies China Finance Review International Pub Date : 2023-08-07 Onur Polat
Purpose This study aims to scrutinize time-varying return and volatility interlinkages among major cryptocurrencies, NFT tokens and DeFi assets between 1 July 2018 and 19 February 2023 and determine optimal portfolio allocations and hedging effectiveness under different portfolio construction techniques. Design/methodology/approach This work examines time-varying return and volatility interlinkages
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Risk spillovers connectedness between the US Fintech industry VaR, behavioral biases and macroeconomic instability factors: COVID-19 implications China Finance Review International Pub Date : 2023-06-27 Oumayma Gharbi, Yousra Trichilli, Mouna Boujelbéne
Purpose The main objective of this paper is to analyze the dynamic volatility spillovers between the investor's behavioral biases, the macroeconomic instability factors and the value at risk of the US Fintech stock market before and during the COVID-19 pandemic. Design/methodology/approach The authors used the methodologies proposed by Diebold and Yilmaz (2012) and the wavelet approach. Findings The
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The integration of real estate investment trust: a wavelet coherency analysis China Finance Review International Pub Date : 2023-06-15 Nicholas Addai Boamah, Emmanuel Opoku, Stephen Zamore
Purpose The study investigates the co-movements amongst real estate investments trust (REITs). This study examines the co-movements between the world and individual countries' REITs and the co-movements amongst country-pair REITs. This study explores the responsiveness of the REITs markets' co-movements to the 2008 global financial crisis (GFC), the coronavirus disease 2019 (COVID-19) pandemic and
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The COVID-19 pandemic, economic policy uncertainty and the hedging role of cryptocurrencies: a global perspective China Finance Review International Pub Date : 2023-05-29 Muhammad Aftab, Inzamam Ul Haq, Mohamed Albaity
Purpose The COVID-19 pandemic has led to global economic policy uncertainty, which has increased the need to investigate ways to mitigate the uncertainty. This study aims to examine the potential of cryptocurrencies as a hedge and safe haven avenue against economic policy uncertainty. Design/methodology/approach This study investigates the behavior of the five leading cryptocurrencies in relation to
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Does venture-backed innovation support carbon neutrality? China Finance Review International Pub Date : 2023-03-14 Donghui Li, Yingdong Liu, Minxing Sun, Xinjie Wang, Weike Xu
Purpose This paper aims to answer three questions: (1) Which countries invest more capital in green firms? (2) What kind of industries do venture capitals (VCs) invest in? (3) Do VCs invest more capital in green firms? Design/methodology/approach First, the authors provide summary statistics of the key variables for green and non-green firms. Then the authors use figures to plot the growth of green
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Family ownership and capital structure: evidence from ASEAN countries China Finance Review International Pub Date : 2023-03-06 Trang Khanh Tran, Lan Thi Mai Nguyen
Purpose This paper examines the capital structure decisions of family firms in Southeast Asian (ASEAN) countries, considering the moderating effects of various firm-level and country-level factors. Design/methodology/approach The authors apply various panel data models to analyze the data of listed firms in six ASEAN countries over the period of 2007–2017. Findings The authors find that family firms
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Firms' financial structure with contingent convertible debt, risky debt and multiple growth options China Finance Review International Pub Date : 2023-02-28 Ons Triki, Fathi Abid
Purpose The objective of this paper is twofold: first, to model the value of the firm in the presence of contingent capital and multiple growth options over its life cycle in a stochastic universe to ensure financial stability and recover losses in case of default and second, to clarify how contingent convertible (CoCo) bonds as financial instruments impact the leverage-ratio policies, inefficiencies
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The dynamics of oil prices, uncertainty measures and unemployment: a time and frequency approach China Finance Review International Pub Date : 2023-01-30 Opeoluwa Adeniyi Adeosun, Richard O. Olayeni, Mosab I. Tabash, Suhaib Anagreh
Purpose This study investigates the nexus between the returns on oil prices (OP) and unemployment (UR) while taking into account the influences of two of the most representative measures of uncertainty, the Baker et al. (2016) and Caldara and Iacovello (2021) indexes of economic policy uncertainty (EP) and geopolitical risks (GP), in the relationship. Design/methodology/approach The authors use data
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The impact of the COVID-19 pandemic on bank systemic risk: some cross-country evidence China Finance Review International Pub Date : 2023-01-20 Yuanyun Yan, Bang Nam Jeon, Ji Wu
Purpose This study tends to investigate how the outbreak of the coronavirus disease 2019 (COVID-19) pandemic has affected banks' contribution to systemic risk. In addition, the authors examine whether the impact of the pandemic may vary across advanced/emerging economies, and with banks with differed characteristics. Design/methodology/approach The authors construct the bank-specific conditional value
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Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market China Finance Review International Pub Date : 2023-01-11 Antonio Focacci
Purpose The purpose of this stud is to analyze the financialization effect on oil prices. Design/methodology/approach This study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology. Findings Findings revealed that there was no effect on oil prices. Originality/value To the best of the author’s knowledge, this is the first paper combining the multibreakpoint
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The underlying coherent behavior in intraday dynamic market equilibrium China Finance Review International Pub Date : 2023-01-09 Leilei Shi, Xinshuai Guo, Andrea Fenu, Bing-Hong Wang
Purpose This paper applies a volume-price probability wave differential equation to propose a conceptual theory and has innovative behavioral interpretations of intraday dynamic market equilibrium price, in which traders' momentum, reversal and interactive behaviors play roles. Design/methodology/approach The authors select intraday cumulative trading volume distribution over price as revealed preferences
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A survey on ESG: investors, institutions and firms China Finance Review International Pub Date : 2023-01-06 P. Raghavendra Rau, Ting Yu
Purpose Over the past two decades, the topics of Environmental, Social and Corporate Governance (ESG) and Corporate Social Responsibility (CSR) have attracted an increasing amount of interest, reflecting a growing sensitivity of investors and corporations towards environmental, social and governance issues. Design/methodology/approach This survey offers an overview of the academic literature on ESG/CSR
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The changing investor demographics of an emerging IPO market during the COVID-19 pandemic China Finance Review International Pub Date : 2022-11-01 Lokman Tutuncu
Purpose The last two years are characterized by record numbers of initial public offerings (IPOs), foreign investor abstinence and rising retail investor appetite in the Turkish stock market. This study aims to investigate whether retail investor dominance coupled with foreign investor aversion has significant impact on initial and short-term returns. Design/methodology/approach The research covers
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Equilibrium policy portfolios when some investors are restricted from holding certain assets China Finance Review International Pub Date : 2022-09-09 Otto Randl, Arne Westerkamp, Josef Zechner
Purpose The authors analyze the equilibrium effects of non-tradable assets on optimal policy portfolios. They study how the existence of non-tradable assets impacts optimal asset allocation decisions of investors who own such assets and of investors who do not have access to non-tradable assets. Design/methodology/approach In this theoretical analysis, the authors analyze a model with tradable and
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Regime shifts in a long-run risks model of stock and treasury bond markets China Finance Review International Pub Date : 2022-08-30 Kai Li, Chenjie Xu
Purpose This paper aims to study the asset pricing implications for stock and bond markets in a long-run risks (LRR) model with regime shifts. This general equilibrium framework can not only generate sign-switching stock-bond correlations and bond risk premium, but also quantitatively reproduce various other salient empirical features in stock and bond markets, including time-varying equity and bond
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Disagreement in economic forecasts and equity returns: risk or mispricing? China Finance Review International Pub Date : 2022-08-05 Turan G. Bali, Stephen J. Brown, Yi Tang
Purpose This paper investigates the role of economic disagreement in the cross-sectional pricing of individual stocks. Economic disagreement is quantified with ex ante measures of cross-sectional dispersion in economic forecasts from the Survey of Professional Forecasters (SPF), determining the degree of disagreement among professional forecasters over changes in economic fundamentals. Design/methodology/approach
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Stock market reactions to COVID-19 shocks: do financial market interventions walk the talk? China Finance Review International Pub Date : 2022-05-23 Mutaju Isaack Marobhe, Jonathan Mukiza Peter Kansheba
Purpose Following the COVID-19 outbreak, various economies imposed different financial interventions as part of initiatives to cushion their stock markets from deteriorating performance. Our article examines the effectiveness of these interventions in protecting stock markets during the pandemic. Design/methodology/approach The authors employ Panel Vector Autoregression to model the magnitude and timing
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Trade price clustering in the corporate bond market China Finance Review International Pub Date : 2022-05-13 Brittany Cole, Michael A. Goldstein, Shane M. Moser, Robert A. Van Ness
Purpose In this paper, the authors document the existence of price clustering in the US corporate bond market. Design/methodology/approach Using a sample of 8,422,593 corporate bond trades in 2014, the authors find that over 18% (1,522,284 trades) of all bond trades end in a clustered price, defined as a price ending in 00, 25, 50, or 75. Findings Overall, the authors find that both bond rating category
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Guest editorial: Green and energy efficiency finance China Finance Review International Pub Date : 2022-04-07 Farhad Taghizadeh-Hesary
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“Work is easy or very tired”: the impact of the heterosexual leadership structure on enterprise innovation investment China Finance Review International Pub Date : 2022-03-25 Mengjun Huo, Chao Li
Purpose Innovation is the most important quality of enterprise management. It is an important and controversial issue whether the heterosexual leadership structure of the chairman and chief executive officer (CEO) makes the work “easy” or “very tired” in enterprise innovation. This study investigates the specific impact of the heterosexual leadership structure on enterprise innovation investment, and
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The green bond market and its use for energy efficiency finance in Africa China Finance Review International Pub Date : 2022-03-04 Farhad Taghizadeh-Hesary, Abdulrasheed Zakari, Rafael Alvarado, Vincent Tawiah
Purpose This study presents the state of green bond markets in Africa and green bond funds by some countries in the continent. Design/methodology/approach The authors adopt a case study approach on four different kinds of countries, namely oil-rich economy, green bond innovator, renewable energy user and carbon vulnerability. Findings The authors found that Africa's green bond is still at the early
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Temporal changes in global stock markets during COVID-19: an analysis of dynamic networks China Finance Review International Pub Date : 2022-02-07 Kashif Zaheer, Faheem Aslam, Yasir Tariq Mohmand, Paulo Ferreira
Purpose COVID-19 evolved from a local health crisis to a pandemic and affected countries worldwide accordingly. Similarly, the impacts of the pandemic on the performance of global stock markets could be time-varying. This study applies a dynamic network analysis approaches to evaluate the evolution over time of the impact of COVID-19 on the stock markets' network. Design/methodology/approach Daily
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Cryptocurrencies and portfolio diversification in an emerging market China Finance Review International Pub Date : 2022-01-11 Lehlohonolo Letho, Grieve Chelwa, Abdul Latif Alhassan
Purpose This paper examines the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments within an emerging market economy. Design/methodology/approach The paper employs daily arithmetic returns from August 2015 to October 2018 of traditional assets (stocks, bonds, currencies), alternative assets (commodities, real estate) and cryptocurrencies. Using
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Cryptocurrency as a safe haven for investment portfolios amid COVID-19 panic cases of Bitcoin, Ethereum and Litecoin China Finance Review International Pub Date : 2021-11-26 Mutaju Isaack Marobhe
Purpose This article examines the susceptibility of cryptocurrencies to coronavirus disease 2019 (COVID-19) induced panic in comparison with major stock indices. Design/methodology/approach The author employs the Bayesian structural vector autoregression to examine the phenomenon in Bitcoin, Ethereum and Litecoin from 2nd January 2020 to 30th June 2021. A similar analysis is conducted for major stock
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Corporate bond spreads and understated pension liabilities China Finance Review International Pub Date : 2021-12-28 Huan Yang, Jun Cai
Purpose The question is whether debt market investors see through managers' attempts to hide their pension obligations. The authors establish a robust relation between understated pension liabilities and corporate bond yield spreads after controlling for factors that have been previously identified as having a significant impact on firms' cost of borrowing. The results support the idea that bond market
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Does governance quality matter in the nexus of inclusive finance and stability? China Finance Review International Pub Date : 2022-01-21 Mallika Saha, Kumar Debasis Dutta
Purpose Despite numerous evidence of policy trade-off in financial inclusion-stability nexus, little is known about the role of governance quality to align policy goals and maximizing the social benefits. Therefore, to fill the gap, this study focuses to investigate the moderating effect of country governance (CG) in the interplay between financial-inclusion (FI) and financial-stability (FS), using
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An index of cryptocurrency environmental attention (ICEA) China Finance Review International Pub Date : 2022-01-21 Yizhi Wang, Brian Lucey, Samuel Alexandre Vigne, Larisa Yarovaya
Purpose (1) A concern often expressed in relation to cryptocurrencies is the environmental impact associated with increasing energy consumption and mining pollution. Controversy remains regarding how environmental attention and public concerns adversely affect cryptocurrency prices. Therefore, the paper aims to introduce the index of cryptocurrency environmental attention (ICEA), which aims to capture
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Revisiting the performance of the scaled momentum strategies China Finance Review International Pub Date : 2022-01-19 Hilal Anwar Butt, Mohsin Sadaqat, Muhammad Tahir
Purpose The main purpose of this study is to enunciate the underlying factors that enhance the performance of scaled momentum strategies. Design/methodology/approach In previous studies, the negative relationship between the lagged volatility and future return of momentum strategy is exploited to manage the risk. But this negative relationship only holds when volatility is higher, further the volatility
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Investigating the determining factors of sustainable FDI in Vietnam China Finance Review International Pub Date : 2022-01-03 Phung Thanh Quang, Ehsan Rasoulinezhad, Nguyen Nhat Linh, Doan Phuong Thao
Purpose The main purpose of this paper is to analyze the sustainable inward FDI pattern of Vietnam. Design/methodology/approach This paper intends to analyze the sustainable FDI pattern of Vietnam using the gravity theory and panel data approach for the annual data over the period of 2007–2020. Findings Vietnamese FDI volume is positively affected by political and social factors, globalization and
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The dynamic interaction between investor attention and green security market: an empirical study based on Baidu index China Finance Review International Pub Date : 2021-12-24 Yang Gao, Yangyang Li, Yaojun Wang
Purpose This paper aims to explore the interaction between investor attention and green security markets, including green bonds and stocks. Design/methodology/approach This study takes the Baidu index of “green finance” as the proxy for investor attention and constructs several generalized prediction error variance decomposition models to investigate the interdependence. It further analyzes the dynamic
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Energy financing in COVID-19: how public supports can benefit? China Finance Review International Pub Date : 2021-11-23 Sajid Iqbal, Ahmad Raza Bilal
Purpose The study aims to empirically estimate the role of public supports for energy efficiency financing and presents the way forward to mitigate the energy financing barriers that incurred during the COVID-19 crisis. Design/methodology/approach Using the G7 countries data, the study estimated the nexus between the constructs. Generalized method of moments (GMM) and conventional increasing-smoothing
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Catastrophe risk, reinsurance and securitized risk-transfer solutions: a review China Finance Review International Pub Date : 2021-08-13 Yang Zhao, Jin-Ping Lee, Min-Teh Yu
Purpose Catastrophe (CAT) events associated with natural catastrophes and man-made disasters cause profound impacts on the insurance industry. This research thus reviews the impact of CAT risk on the insurance industry and how traditional reinsurance and securitized risk-transfer instruments are used for managing CAT risk. Design/methodology/approach This research reviews the impact of CAT risk on
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The global business cycle and speculative demand for crude oil China Finance Review International Pub Date : 2021-09-03 Elisabete Neves, Vítor Oliveira, Joana Leite, Carla Henriques
Purpose This paper aims to better understand if speculative activity is a factor or even the main factor in the run-up of oil prices in the spot market, particularly in the recent price bubble that occurred in the period from mid-2003 to 2008. Design/methodology/approach The methodology used is based on an existing vector autoregressive model proposed by Kilian and Murphy (2014), which is a structural
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The impact of green finance and Covid-19 on economic development: capital formation and educational expenditure of ASEAN economies China Finance Review International Pub Date : 2021-10-13 Quang-Thanh Ngo, Hoa Anh Tran, Hai Thi Thanh Tran
Purpose The purpose of this study is to examine the impact of green finance (i.e. green investment, green security and green credit) along with capital formation and government educational expenditures on the economic development of (ASEAN) countries. Design/methodology/approach The data were gathered from the central banks of all ASEAN countries and the World Bank Indicators between 2008 and 2019
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Does green finance matter for sustainable entrepreneurship and environmental corporate social responsibility during COVID-19? China Finance Review International Pub Date : 2021-08-19 Muhammad Sadiq, Sakkarin Nonthapot, Shafi Mohamad, Ooi Chee Keong, Syed Ehsanullah, Nadeem Iqbal
Purpose The discourse aimed to investigate green finance practices under the assumptions of several notable climate advisors and speculators in Asia and particularly in Southeast Asia. The study intrigues by considering financial specialists to vent government spending on green restoration plans leading toward green bankable venture openings for the public and private sector. This section distinguishes
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The impact of green finance, economic growth and energy usage on CO2 emission in Vietnam – a multivariate time series analysis China Finance Review International Pub Date : 2021-08-10 Quyen Ha Tran
Purpose This study aims to examine the relationship between green finance, economic growth, renewable energy consumption (energy efficiency), energy import and CO2 emission in Vietnam using multivariate time series analysis. Design/methodology/approach The data were collected from 1986 to 2018 since Vietnam initiated the economic reforms, namely “Doi Moi” in 1986. The concept and methods of cointegration
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How can an economic scenario generation model cope with abrupt changes in financial markets? China Finance Review International Pub Date : 2021-05-31 Yi-Hsi Lee, Ming-Hua Hsieh, Weiyu Kuo, Chenghsien Jason Tsai
Purpose It is quite possible that financial institutions including life insurance companies would encounter turbulent situations such as the COVID-19 pandemic before policies mature. Constructing models that can generate scenarios for major assets to cover abrupt changes in financial markets is thus essential for the financial institution's risk management. Design/methodology/approach The key issues
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Government support for SMEs in response to COVID-19: theoretical model using Wang transform China Finance Review International Pub Date : 2021-07-26 Shaun Shuxun Wang, Jing Rong Goh, Didier Sornette, He Wang, Esther Ying Yang
Purpose Many governments are taking measures in support of small and medium-sized enterprises (SMEs) to mitigate the economic impact of the COVID-19 outbreak. This paper presents a theoretical model for evaluating various government measures, including insurance for bank loans, interest rate subsidy, bridge loans and relief of tax burdens. Design/methodology/approach This paper distinguishes a firm's
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Earnings management when firms face mandatory contributions China Finance Review International Pub Date : 2021-06-28 Yiyi Qin, Jun Cai, Steven Wei
Purpose In this paper, we aim to answer two questions. First, whether firms manipulate reported earnings via pension assumptions when facing mandatory contributions. Second, whether firms alter their earnings management behavior when the Financial Accounting Standard Board (FASB) mandates disclosure of pension asset composition and a description of investment strategy under SFAS 132R. Design/methodology/approach
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Energy efficiency financing and the role of green bond: policies for post-Covid period China Finance Review International Pub Date : 2021-06-10 Chuc Anh Tu, Ehsan Rasoulinezhad
Purpose One of the major negative effects of the Coronavirus outbreak worldwide has been reduced investment in green energy projects and energy efficiency. The main purpose of this paper is to study the role of green bond proposed by the World Bank in 2008, as a reliable instrument to enhance the capital flow in energy efficiency financing and to develop green energy resources during and post the current
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Ex-ante risk management and financial stability during the COVID-19 pandemic: a study of Vietnamese firms China Finance Review International Pub Date : 2021-05-14 Lan Thi Mai Nguyen, Phi Hoang Dinh
Purpose The authors investigate whether firms can ensure their financial stability during the coronavirus disease 2019 (COVID-19) pandemic by having ex-ante risk management. Design/methodology/approach The authors study 279 Vietnamese listed firms by investigating their disclosure of risk awareness and risk management tool(s) in the 2019 annual reports. The authors then examine whether prior risk awareness
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Can we-media information disclosure drive listed companies' innovation?—From the perspective of financing constraints China Finance Review International Pub Date : 2021-04-30 Hongbin Huang, Yani Sun, Qingling Chu
Purpose The purpose of this paper is to investigate to what extent the amount, information source and the content of the microblog information disclosure of listed companies could impact on innovation from the perspective of financing constraints. Design/methodology/approach The propensity score matching (PSM) and two-stage least square (2SLS) are used in estimations to deal with the endogeneity problem
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What do we know about cryptocurrency? Past, present, future China Finance Review International Pub Date : 2021-02-03 Mohammed Sawkat Hossain
Purpose The authors make a fundamental initial effort to conduct a systematic review analysis on “cryptocurrency,” mainly to analyze the way it has been changing the “stereotype” financial transactions, and also identify the probable unexplored research avenues on this innovative investment regime. The study aims to draw the landscape of the current state, prospects, challenges, trends and possible
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Dual and single hedging strategy: a novel comparison from the direct and cross hedging perspective China Finance Review International Pub Date : 2020-12-08 Yun Feng, Yan Cui
Purpose The purpose of this paper is to deeply study and compare the dual and single hedging strategy, from the direct and cross hedging perspective. Design/methodology/approach The authors not only first consider the dual hedge of integrated risks in this oil prices and foreign exchange rates setting but also make a novel comparison between the dual and single hedging strategy from a direct and cross
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The role of model bias in predicting volatility: evidence from the US equity markets China Finance Review International Pub Date : 2020-10-27 Yan Li, Lian Luo, Chao Liang, Feng Ma
Purpose The purpose of this paper is to explore whether the out-of-sample model bias plays an important role in predicting volatility. Design/methodology/approach Under the heterogeneous autoregressive realized volatility (HAR-RV) framework, we analyze the predictive power of out-of-sample model bias for the realized volatility (RV) of the Dow Jones Industrial Average (DJI) and the S&P 500 (SPX) indices
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The causes and challenges of low interest rates: insights from basic principles and recent literature China Finance Review International Pub Date : 2020-10-13 Youchang Wu
Purpose What causes the downward trend of real interest rates in major developed economies since the 1980s? What are the challenges of the near-zero interest and inflation rates for monetary policy? What can the policymakers learn from the latest developments in the monetary and interest rate theory? This paper aims to answer these questions by reviewing both basic principles of interest rate determination
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The impact of closing mechanism changes: evidence from the Shanghai stock market China Finance Review International Pub Date : 2020-08-18 Dan Ma, Chunfeng Wang, Zhenming Fang, Ziwei Wang
Purpose The purpose of this paper is to empirically examine the impact of closing mechanism changes on market quality, investor trading behavior and market manipulation in the Shanghai stock market. Design/methodology/approach A dummy variable is constructed indicating whether the closing mechanism is call auction or continuous auction. Market quality is measured from aspects of liquidity, volatility
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Inference for variance risk premium China Finance Review International Pub Date : 2020-07-21 Shuang Zhang, Song Xi Chen, Lei Lu
Purpose With the presence of pricing errors, the authors consider statistical inference on the variance risk premium (VRP) and the associated implied variance, constructed from the option prices and the historic returns. Design/methodology/approach The authors propose a nonparametric kernel smoothing approach that removes the adverse effects of pricing errors and leads to consistent estimation for
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FinTech and household finance: a review of the empirical literature China Finance Review International Pub Date : 2020-05-19 Sumit Agarwal, Yeow Hwee Chua
This paper reviews recent advances in the empirical literature of FinTech and household finance.,We survey the effects of FinTech on three different aspects of household finance: payments, lending and portfolio decisions. Specifically, we examine the impact of digital payments, mobile money, FinTech lending, marketplace lending, robo-advising and crowd-funding.,Studies suggest that FinTech has positively
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Corporate cash savings and discretionary accruals China Finance Review International Pub Date : 2020-04-15 Jianjun Jia, Lili Shao, Zhenzhen Sun, Fang Zhao
This paper assesses how discretionary accruals (DAs) affect corporate cash savings policies and the motivation behind this cash saving behavior and, also whether the linkage between DAs and cash saving affect the market-perceived cash value.,We construct the measure of DAs using the previous five-year average information to investigate the association of DAs with the change in cash. Moreover, the Faulkender
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The two best ways to derive the Black–Scholes PDE China Finance Review International Pub Date : 2019-12-17 Paul Wilmott
The purpose of this paper is to explain the Black–Scholes model with minimal technical requirements and to illustrate its impact from a business perspective.,The paper employs simple accounting concepts and an argument part based on business need.,The Black–Scholes partial differential equation can be derived in many ways, some easy to understand, some hard, some useful and others not. The two methods