-
A comprehensive MCDM assessment for economic data: success analysis of maximum normalization, CODAS, and fuzzy approaches Financial Innovation (IF 6.793) Pub Date : 2024-03-13 Mahmut Baydaş, Mustafa Yılmaz, Željko Jović, Željko Stević, Sevilay Ece Gümüş Özuyar, Abdullah Özçil
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 approach has recently been applied mostly to financial data. In these studies, where it is emphasized that some methods show more stable success, it would be useful to see the results that will emerge
-
Global uncertainty and potential shelters: gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets Financial Innovation (IF 6.793) Pub Date : 2024-03-12 Ewa Feder-Sempach, Piotr Szczepocki, Joanna Bogołębska
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 apply the unique approach of the multivariate factor stochastic volatility (MSV) model, which is extremely efficient for financial market analysis and allows us to conduct dynamic factor analysis
-
Market risk spillover and the asymmetric effects of macroeconomic fundamentals on market risk across Vietnamese sectors Financial Innovation (IF 6.793) Pub Date : 2024-03-08 Duc Hong Vo, Hung Le-Phuc Nguyen
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 the asymmetric effects of macroeconomic indicators on market risk across 24 sectors in Vietnam from 2012 to 2022. We use the value-at-risk (VaR) technique and a vector autoregression (VAR) model
-
Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model Financial Innovation (IF 6.793) Pub Date : 2024-03-07 Imran Yousaf, Manel Youssef, Mariya Gubareva
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. We reveal that the total connectedness between these markets is weak, implying that investors may increase the diversification benefits of their multicurrency portfolios by adding NFTs. We also
-
Do US states’ responses to COVID-19 restore investor sentiment? Evidence from S&P 500 financial institutions Financial Innovation (IF 6.793) Pub Date : 2024-03-05 Kaouther Chebbi, Aymen Ammari, Seyed Alireza Athari, Kashif Abbass
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 still provides no answers concerning this nexus. Using a new firm-specific Twitter investor sentiment (TS) metric and performing a panel smooth transition regression for daily data on 66 S&P 500
-
Can ETFs affect U.S. financial stability? A quantile cointegration analysis Financial Innovation (IF 6.793) Pub Date : 2024-03-05 Juan Laborda, Ricardo Laborda, Javier de la Cruz
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 valuations. We estimate quantile cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for 1994–2020. We found that an
-
Time-varying spillovers in high-order moments among cryptocurrencies Financial Innovation (IF 6.793) Pub Date : 2024-03-04 Asil Azimli
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 (third and fourth orders in this paper) moments based on skewness and kurtosis. The sample period is from February 10, 2020, to August 20, 2022, which captures a pandemic, wartime, cryptocurrency
-
Examining user behavior with machine learning for effective mobile peer-to-peer payment adoption Financial Innovation (IF 6.793) Pub Date : 2024-03-02 Blanco-Oliver Antonio, Lara-Rubio Juan, Irimia-Diéguez Ana, Liébana-Cabanillas Francisco
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 theories about customer behavior in response to technological innovations, this paper identifies the drivers of consumer adoption of mobile P2P payments and develops a machine learning model to predict
-
Cryptocurrency competition: empirical testing of Hayek’s vision of private monies Financial Innovation (IF 6.793) Pub Date : 2024-03-01 Fabian Mayer, Peter Bofinger
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 competition revolving around the medium of the exchange function. This study posited that cryptocurrencies compete across diverse monetary functions, particularly concerning their roles as speculative
-
Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes Financial Innovation (IF 6.793) Pub Date : 2024-03-01 Aktham Maghyereh, Salem Adel Ziadat
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 uncertainty can predict tail risk interconnectedness. Combining the Conditional Autoregressive Value-at-Risk (CAViaR) model with the time-varying parameter vector autoregressive (TVP-VAR) approach shows
-
How are texts analyzed in blockchain research? A systematic literature review Financial Innovation (IF 6.793) Pub Date : 2024-02-29 Xian Zhuo, Felix Irresberger, Denefa Bostandzic
This paper provides a systematic literature review of text analysis methodologies used in blockchain-related research to comprehend and synthesize existing studies across disciplines and define future research directions. We summarize the research scope, text data, and methodologies of 124 papers and identify the two most common combinations of these dimensions: (1) papers that focus on specific cryptocurrencies
-
Net valence analysis of iris recognition technology-based FinTech Financial Innovation (IF 6.793) Pub Date : 2024-02-29 Mutaz M. Al-Debei, Omar Hujran, Ahmad Samed Al-Adwan
Iris recognition technology (IRT)-based authentication is a biometric financial technology (FinTech) application used to automate user recognition and verification. In addition to being a controversial technology with various facilitators and inhibitors, the adoption of IRT-based FinTech is driven by contextual factors, such as customer perceptions, deployed biometric technology, and financial transaction
-
A hybrid model for stock price prediction based on multi-view heterogeneous data Financial Innovation (IF 6.793) Pub Date : 2024-02-29 Wen Long, Jing Gao, Kehan Bai, Zhichen Lu
Literature shows that both market data and financial media impact stock prices; however, using only one kind of data may lead to information bias. Therefore, this study uses market data and news to investigate their joint impact on stock price trends. However, combining these two types of information is difficult because of their completely different characteristics. This study develops a hybrid model
-
Mediating effect of firm efficiency on the controlling shareholdings–firm performance nexus: evidence from public listed firms in Malaysia Financial Innovation (IF 6.793) Pub Date : 2024-02-29 Irene Wei Kiong Ting, Jawad Asif, Qian Long Kweh, Tran Thi Kim Phuong
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 analysis with 5,000 bootstraps on a dataset of 2,849 firm-year observations of publicly listed firms in Malaysia from 2009 to 2019. The findings reveal a positive relationship between controlling
-
Modeling the link between environmental, social, and governance disclosures and scores: the case of publicly traded companies in the Borsa Istanbul Sustainability Index Financial Innovation (IF 6.793) Pub Date : 2024-02-28 Mustafa Tevfik Kartal, Serpil Kılıç Depren, Ugur Korkut Pata, Dilvin Taşkın, Tuba Şavlı
This study constructs a proposed model to investigate the link between environmental, social, and governance (ESG) disclosures and ESG scores for publicly traded companies in the Borsa Istanbul Sustainability (XUSRD) index. In this context, this study considers 66 companies, examining recently structured ESG disclosures for 2022 that were published for the first time as novel data and applying a multilayer
-
The volatility mechanism and intelligent fusion forecast of new energy stock prices Financial Innovation (IF 6.793) Pub Date : 2024-02-22 Guo-Feng Fan, Ruo-Tong Zhang, Cen-Cen Cao, Li-Ling Peng, Yi-Hsuan Yeh, Wei-Chiang Hong
The new energy industry is strongly supported by the state, and accurate forecasting of stock price can lead to better understanding of its development. However, factors such as cost and ease of use of new energy, as well as economic situation and policy environment, have led to continuous changes in its stock price and increased stock price volatility. By calculating the Lyapunov index and observing
-
Drawdown-based risk indicators for high-frequency financial volumes Financial Innovation (IF 6.793) Pub Date : 2024-02-22 Guglielmo D’Amico, Bice Di Basilio, Filippo Petroni
In stock markets, trading volumes serve as a crucial variable, acting as a measure for a security’s liquidity level. To evaluate liquidity risk exposure, we examine the process of volume drawdown and measures of crash-recovery within fluctuating time frames. These moving time windows shield our financial indicators from being affected by the massive transaction volume, a characteristic of the opening
-
User acceptance of social network-backed cryptocurrency: a unified theory of acceptance and use of technology (UTAUT)-based analysis Financial Innovation (IF 6.793) Pub Date : 2024-02-21 Márk Recskó, Márta Aranyossy
Turbulent market conditions, well-publicized advantages, and potential individual, social, and environmental risks make blockchain-based cryptocurrencies a popular focus of the public and scientific communities. This paper contributes to the literature on the future of crypto markets by analyzing a promising cryptocurrency innovation from a customer-centric point of view; it explores the factors influencing
-
Volatility spillovers among leading cryptocurrencies and US energy and technology companies Financial Innovation (IF 6.793) Pub Date : 2024-02-20 Amro Saleem Alamaren, Korhan K. Gokmenoglu, Nigar Taspinar
This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum, Tether, and BNB coin), four energy companies (Exxon Mobil, Chevron, ConocoPhillips, and Nextera Energy), and four mega-technology companies (Apple, Microsoft, Alphabet, and Amazon) in the US. We analyze data for the period November 15, 2017–October 28, 2022 using methodologies in
-
Detecting DeFi securities violations from token smart contract code Financial Innovation (IF 6.793) Pub Date : 2024-02-20 Arianna Trozze, Bennett Kleinberg, Toby Davies
Decentralized Finance (DeFi) is a system of financial products and services built and delivered through smart contracts on various blockchains. In recent years, DeFi has gained popularity and market capitalization. However, it has also been connected to crime, particularly various types of securities violations. The lack of Know Your Customer requirements in DeFi poses challenges for governments trying
-
Evaluating short- and long-term investment strategies: development and validation of the investment strategies scale (ISS) Financial Innovation (IF 6.793) Pub Date : 2024-02-19 Ibrahim Arpaci, Omer Aslan, Mustafa Kevser
In response to the growing importance of understanding individual investment strategies, the present study aimed to develop a new scale for measuring both the short- and long-term investment strategies of individuals. The study assessed the psychometric properties of the investment strategies scale (ISS) using data collected from 1428 individual investors. In the initial study, an exploratory factor
-
Features of different asset types and extreme risk transmission during the COVID-19 crisis Financial Innovation (IF 6.793) Pub Date : 2024-02-17 I-Chun Tsai
Unlike the current extensive literature, which discusses which assets can avoid the risks caused by the COVID-19 pandemic, this study examines whether the characteristics of different assets affect the extreme risk transmission of the COVID-19 crisis. This study explores the effects of COVID-19 pandemic–related risk factors (i.e., pandemic severity, pandemic regulations and policies, and vaccination-related
-
A simplified model for measuring longevity risk for life insurance products Financial Innovation (IF 6.793) Pub Date : 2024-02-16 David Atance, Eliseo Navarro
In this paper, we propose a simple dynamic mortality model to fit and forecast mortality rates for measuring longevity and mortality risks. This proposal is based on a methodology for modelling interest rates, which assumes that changes in spot interest rates depend linearly on a small number of factors. These factors are identified as interest rates with a given maturity. Similarly, we assume that
-
FDI-growth and trade-growth relationships during crises: evidence from Bangladesh Financial Innovation (IF 6.793) Pub Date : 2024-02-09 Bibhuti Sarker
This study examines foreign direct investment (FDI)-growth and trade-growth relationships in Bangladesh during three major crises: the economic crisis of 2007–2008, the commodity crisis of 2016, and the coronavirus (COVID-19) pandemic of 2020. The augmented autoregressive distributed lag (AARDL) bounds testing approach and Bayer and Hanck cointegration are employed on time-series data spanning the
-
Pattern recognition of financial innovation life cycle for renewable energy investments with integer code series and multiple technology S-curves based on Q-ROF DEMATEL Financial Innovation (IF 6.793) Pub Date : 2024-02-08 Gang Kou, Hasan Dinçer, Serhat Yüksel
The current study evaluates the financial innovation life cycle for renewable energy investments. A novel model is proposed that has two stages. First, the financial innovation life cycle is weighted by the two-generation technology S-curve (TTSC) for renewable energy investments. Second, the TTSC is ranked with integer patterns for renewable energy investments. For this purpose, the decision-making
-
Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness Financial Innovation (IF 6.793) Pub Date : 2024-02-06 Onur Polat
This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023. To this end, we used the time-varying parameter vector autoregression (TVP-VAR) asymmetric connectedness approach of Adekoya et al. (Resour Policy 77:102728, 2022a, Resour Policy 78:102877, 2022b) and analyzed the time-varying transmitting/receiving roles of sectors, considering
-
Correction: Scale elasticity and technical efficiency measures in two-stage network production processes: an application to the insurance sector Financial Innovation (IF 6.793) Pub Date : 2024-02-06 Alireza Amirteimoori, Tofigh Allahviranloo, Aliasghar Arabmaldar
Correction: Financ Innov 10, 43 (2024) https://doi.org/10.1186/s40854-023-00578-z Following publication of the original article (Amirteimoori et al. 2024), the authors reported a typesetting error in the affiliation of author Tofigh Allahviranloo. Due to a typesetting error, author Tofigh Allahviranloo was mistakenly assigned to affiliation 2: Department of Business Administration, Faculty of Business
-
A hybrid econometrics and machine learning based modeling of realized volatility of natural gas Financial Innovation (IF 6.793) Pub Date : 2024-01-29 Werner Kristjanpoller
Determining which variables affect price realized volatility has always been challenging. This paper proposes to explain how financial assets influence realized volatility by developing an optimal day-to-day forecast. The methodological proposal is based on using the best econometric and machine learning models to forecast realized volatility. In particular, the best forecasting from heterogeneous
-
Scale elasticity and technical efficiency measures in two-stage network production processes: an application to the insurance sector Financial Innovation (IF 6.793) Pub Date : 2024-01-28 Alireza Amirteimoori, Tofigh Allahviranloo, Aliasghar Arabmaldar
In performance analysis with tools such as data envelopment analysis, calculations of scale properties of the frontier points are studied using both qualitative and quantitative approaches. When the production process is a bit complicated, the calculation needs to be modified. Most existing studies are focused on a single-stage production process under the constant or variable returns to scale specification
-
The implication of cryptocurrency volatility on five largest African financial system stability Financial Innovation (IF 6.793) Pub Date : 2024-01-27 Tonuchi E. Joseph, Atif Jahanger, Joshua Chukwuma Onwe, Daniel Balsalobre-Lorente
This study examined the interconnectedness and volatility correlation between cryptocurrency and traditional financial markets in the five largest African countries, addressing concerns about potential spillover effects, especially the high volatility and lack of regulation in the cryptocurrency market. The study employed both diagonal BEKK-GARCH and DCC-GARCH to analyze the existence of spillover
-
Time and frequency dynamics between NFT coins and economic uncertainty Financial Innovation (IF 6.793) Pub Date : 2024-01-26 Perry Sadorsky, Irene Henriques
Non-fungible tokens (NFTs) are one-of-a-kind digital assets that are stored on a blockchain. Examples of NFTs include art (e.g., image, video, animation), collectables (e.g., autographs), and objects from games (e.g., weapons and poisons). NFTs provide content creators and artists a way to promote and sell their unique digital material online. NFT coins underpin the ecosystems that support NFTs and
-
How to govern greenwashing behaviors in green finance products: a tripartite evolutionary game approach Financial Innovation (IF 6.793) Pub Date : 2024-01-25 Changyu Liu, Wei Li, Le Chang, Qiang Ji
Greenwashing behaviors (GWBs) in green finance products (GFPs) by enterprises seriously hinder the realization of environmental protection goals. However, methods for effectively regulating GWBs in GFPs are unclear. This study constructed a tripartite evolutionary game model to analyze the formation and governance mechanisms of GWBs in GFPs among regulatory authorities, enterprises, and investors.
-
Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach Financial Innovation (IF 6.793) Pub Date : 2024-01-24 Jules Clement Mba
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across five allocation strategies. The novel vine copula captures the complex dependence patterns and tail dynamics. The APARCH DCC incorporates volatility clustering, skewness, and kurtosis
-
Financial markets implications of the energy transition: carbon content of energy use in listed companies Financial Innovation (IF 6.793) Pub Date : 2024-01-22 Matteo Mazzarano
Decarbonization is often misunderstood in financial studies. Furthermore, its implications for investment opportunities and growth are even less known. The study investigates the link between energy indicators and Tobin's Quotient (TQ) in listed companies globally, finding that the carbon content of energy presents a negative yet modest effect on financial performance. Furthermore, we investigated
-
Insurtech in Europe: identifying the top investment priorities for driving innovation Financial Innovation (IF 6.793) Pub Date : 2024-01-21 Serkan Eti, Hasan Dinçer, Hasan Meral, Serhat Yüksel, Yaşar Gökalp
The purpose of this study is to determine the essential indicators to improve insurtech systems and select the most critical alternative to increase insurtech-based investments in European countries. A novel fuzzy decision-making model is generated by integrating entropy and additive ratio assessment (ARAS) techniques with spherical fuzzy sets. First, the indicators are weighted using spherical fuzzy
-
Asymmetric threshold effects of digitization on inflation in emerging markets Financial Innovation (IF 6.793) Pub Date : 2024-01-21 Noha Emara, Daniela Zecheru
This paper analyzes the dynamic asymmetric effects of digitization on domestic inflation for a sample of 54 advanced economies (AEs) and emerging markets (EMs) over the period 2004–2018. Using Katz and Calorda’s Digital Ecosystem Development Index and employing the system Generalized Method of Moments (GMM) estimation methodology, the results of the paper reveal that the improvement in digitization
-
A fuzzy BWM and MARCOS integrated framework with Heronian function for evaluating cryptocurrency exchanges: a case study of Türkiye Financial Innovation (IF 6.793) Pub Date : 2024-01-20 Fatih Ecer, Tolga Murat, Hasan Dinçer, Serhat Yüksel
Crypto assets have become increasingly popular in recent years due to their many advantages, such as low transaction costs and investment opportunities. The performance of crypto exchanges is an essential factor in developing crypto assets. Therefore, it is necessary to take adequate measures regarding the reliability, speed, user-friendliness, regulation, and supervision of crypto exchanges. However
-
Changing the whole game: effects of the COVID-19 pandemic's accelerated digitalization on European bank staff's data protection capabilities Financial Innovation (IF 6.793) Pub Date : 2024-01-20 Ine van Zeeland, Jo Pierson
The COVID-19 pandemic accelerated the acceptance of digital banking services such as online payment and banking apps. As bank clients become more likely to use online services and contactless payment, the amount of consumer data available for banks’ digitalization strategies has increased. This acceleration in digital banking has placed a spotlight on retail banks’ efforts to protect personal data
-
Nexus of governance, macroeconomic conditions, and financial stability of banks: a comparison of developed and emerging countries Financial Innovation (IF 6.793) Pub Date : 2024-01-19 Saif Ullah, Atta Ullah, Mubasher Zaman
The study aims to explore the impact of governance and macroeconomic conditions on financial stability in developed and emerging countries. The study sample comprised 122 countries from 2013 to 2020, and a comprehensive set of variables was used to construct the financial stability index (FSI). The results of the two-step system GMM analysis, robust with D–K regression, indicate that interest rate
-
Crowdfunding innovative but risky new ventures: the importance of less ambiguous tone Financial Innovation (IF 6.793) Pub Date : 2024-01-18 Ye Liu, Ke Zhang, Weili Xue, Ziyu Zhou
Crowdfunding provides a novel and potential way for innovative but risky new ventures to fund their new product development (NPD) projects. To help potential investors evaluate the projects and enhance the credibility of disclosure, founders are struggling with how to phrase the project description. The rapidly growing cleantech crowdfunding projects provide an ideal context to study this issue. We
-
Global shocks and fiscal stimulus: a tale of an oil-dependent-exporting country Financial Innovation (IF 6.793) Pub Date : 2024-01-17 David Iheke Okorie, Boqiang Lin
Global shocks potentially distort economy’s achieved equilibria. Considering the 2020 global crude oil price shock and the 2019 coronavirus disease pandemic, this study proposes an energy and environment integrated general equilibrium model to analyze the economic, energy, and environmental effects of these global shocks on Nigeria, a developing, oil-producing, oil-dependent, and oil-exporting country
-
Unsupervised clustering of bitcoin transactions Financial Innovation (IF 6.793) Pub Date : 2024-01-17 George Vlahavas, Kostas Karasavvas, Athena Vakali
Since its inception in 2009, Bitcoin has become and is currently the most successful and widely used cryptocurrency. It introduced blockchain technology, which allows transactions that transfer funds between users to take place online, in an immutable manner. No real-world identities are needed or stored in the blockchain. At the same time, all transactions are publicly available and auditable, making
-
Fintech research: systematic mapping, classification, and future directions Financial Innovation (IF 6.793) Pub Date : 2024-01-16 Qianhua Liu, Ka-Ching Chan, Ranga Chimhundu
This systematic mapping study provides a comprehensive review of current Fintech publications, analyzing the current state, maturity level, and future directions of Fintech research. Reviewing 518 Fintech articles across four academic databases from 2008 to 2021, we find a significant increase in Fintech studies, especially in Quartile 1 and Quartile 2 journals. Fintech and banking, Fintech development
-
The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models Financial Innovation (IF 6.793) Pub Date : 2024-01-15 Virginie Terraza, Aslı Boru İpek, Mohammad Mahdi Rounaghi
The spread of the coronavirus has reduced the value of stock indexes, depressed energy and metals commodities prices including oil, and caused instability in financial markets around the world. Due to this situation, investors should consider investing in more secure assets, such as real estate property, cash, gold, and crypto assets. In recent years, among secure assets, cryptoassets are gaining more
-
Determining the financial performance of the firms in the Borsa Istanbul sustainability index: integrating multi criteria decision making methods with simulation Financial Innovation (IF 6.793) Pub Date : 2024-01-15 Ahmet Kaya, Dragan Pamucar, Hasan Emin Gürler, Mehmet Ozcalici
Regardless of the industry in which a company operates, evaluating corporate performance is one of the most critical and vital processes; the most essential and prominent performance evaluation is related to financial performance. Appropriate performance analysis is complex and critical for decision-makers in different financial performance factors; thus, a methodological framework is needed to solve
-
Determinants of conventional and digital investment advisory decisions: a systematic literature review Financial Innovation (IF 6.793) Pub Date : 2024-01-14 Fabian Wagner
The growing demand for digital investment advisory services and the advancing technological process led to increased attention to this topic in recent literature. In light of these developments, the question arises whether conventional and digital advisors behave differently in their investment advisory decisions. I therefore conducted a systematic literature review and evaluated 97 publications on
-
How do supply or demand shocks affect the US oil market? Financial Innovation (IF 6.793) Pub Date : 2024-01-14 José Carlos Vides, Julia Feria, Antonio A. Golpe, Juan Manuel Martín-Álvarez
The study of the relationship between crude oil and its refined products prices may be perceived as an important tool for testing how are the dynamics and the type of integration of the petro-derivatives market in the United States. In this sense, we have applied a set of causality tests to study the possible presence of asymmetries in the relationship between WTI crude oil and each refined product
-
A framework to improve churn prediction performance in retail banking Financial Innovation (IF 6.793) Pub Date : 2024-01-13 João B. G. Brito, Guilherme B. Bucco, Rodrigo Heldt, João L. Becker, Cleo S. Silveira, Fernando B. Luce, Michel J. Anzanello
Managing customer retention is critical to a company’s profitability and firm value. However, predicting customer churn is challenging. The extant research on the topic mainly focuses on the type of model developed to predict churn, devoting little or no effort to data preparation methods. These methods directly impact the identification of patterns, increasing the model’s predictive performance. We
-
Impact of financial literacy, perceived access to finance, ICT use, and digitization on credit constraints: evidence from Qatari MSME importers Financial Innovation (IF 6.793) Pub Date : 2024-01-12 Lanouar Charfeddine, Mohamed Ismail Umlai, Mazen El-Masri
This study investigates the role of financial literacy (FL), perceived access to finance (PAF), information communication technology (ICT) usage, and digitization in alleviating the level of credit constraint that micro, small, and medium enterprises (MSMEs) face in an emerging market. We draw on the economic research theories of human capital, knowledge-based view, and lifecycle hypothesis to explain
-
The impact of prestigious attorneys on IPO withdrawal in the global primary market Financial Innovation (IF 6.793) Pub Date : 2024-01-09 Fouad Jamaani, Manal Alidarous
This study aims to determine whether the involvement of prestigious attorneys in issuing companies affects withdrawals in the initial public offering (IPO) market. There is little evidence on how the involvement of famous lawyers affects IPO withdrawal. The study considers a large dataset consisting of 24,312 IPOs that were either successful or withdrawn from 22 distinct IPO marketplaces between January
-
On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum Financial Innovation (IF 6.793) Pub Date : 2024-01-08 Khaled Mokni, Ghassen El Montasser, Ahdi Noomen Ajmi, Elie Bouri
Most previous studies on the market efficiency of cryptocurrencies consider time evolution but do not provide insights into the potential driving factors. This study addresses this limitation by examining the time-varying efficiency of the two largest cryptocurrencies, Bitcoin and Ethereum, and the factors that drive efficiency. It uses daily data from August 7, 2016, to February 15, 2023, the adjusted
-
Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach Financial Innovation (IF 6.793) Pub Date : 2024-01-08 Juncal Cunado, David Gabauer, Rangan Gupta
This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al. (J Risk Financ Manag 13(4):84, 2020). The results suggest that market interconnectedness increased slightly following the outbreak of COVID-19, although this increase was
-
Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis Financial Innovation (IF 6.793) Pub Date : 2024-01-07 Jianzhou Wang, Shuai Wang, Mengzheng Lv, He Jiang
Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions, external regulations, and risk capital allocation. However, existing VaR estimation approaches fail to accurately reflect downside risks, and the ES estimation technique is quite limited owing to its challenging implementation
-
Disaggregated effect of construction investments on the Saudi economy: a dynamic computable general equilibrium model of Saudi Arabia Financial Innovation (IF 6.793) Pub Date : 2024-01-06 Irfan Ahmed, Khadija Mehrez, Claudio Socci, Stefano Deriu, Naif M. Mathkur, Ian P. Casasr
The role of the construction industry in economic growth has been widely discussed in the extant literature, but existing studies have not investigated the disaggregated impact of construction investments on the production and social sectors. This study examines the disaggregated effect of construction investments on the Saudi economy. The study uses a social accounting matrix of Saudi Arabia and constructs
-
Mobile money innovations, income inequality and gender inclusion in sub-Saharan Africa Financial Innovation (IF 6.793) Pub Date : 2024-01-06 Simplice A. Asongu, Peter Agyemang-Mintah, Joseph Nnanna, Yolande E. Ngoungou
This study assesses the role of mobile money innovations on income inequality and gender inclusion in 42 sub-Saharan African countries from 1980 to 2019 using interactive quantile regressions. It finds that, first, income inequality unconditionally reduces the involvement of women in business and politics. Second, mobile money innovations interact with income inequality to have a positive impact on
-
Uncertainty about interest rates and crude oil prices Financial Innovation (IF 6.793) Pub Date : 2024-01-05 Mahmoud Qadan, Gil Cohen
The yield on the 10-year U.S. Treasury Note is among the most cited interest rates by investors, policymakers, and financial institutions. We show that the 10-year Treasury yield’s forward-looking volatility, a VIX-style measure that is a proxy for uncertainty about future interest rates, is a useful state variable capable of predicting the returns and volatility of crude oil prices over the near term
-
Have the extraordinary circumstances of the COVID-19 outbreak and the Russian–Ukrainian conflict impacted the efficiency of cryptocurrencies? Financial Innovation (IF 6.793) Pub Date : 2024-01-04 Aktham Maghyereh, Mohammad Al-Shboul
This study explores whether the COVID-19 outbreak and Russian–Ukrainian (R–U) conflict have impacted the efficiency of cryptocurrencies. The novelty of this study is the use of the Cramér-von Mises test to examine cryptocurrency efficiency. We used a sample of daily prices for the six largest cryptocurrencies, covering the period from September 11, 2017, to September 30, 2022. Cryptocurrencies are
-
Complex network analysis of global stock market co-movement during the COVID-19 pandemic based on intraday open-high-low-close data Financial Innovation (IF 6.793) Pub Date : 2024-01-04 Wenyang Huang, Huiwen Wang, Yigang Wei, Julien Chevallier
This study uses complex network analysis to investigate global stock market co-movement during the black swan event of the Coronavirus Disease 2019 (COVID-19) pandemic. We propose a novel method for calculating stock price index correlations based on open-high-low-close (OHLC) data. More intraday information can be utilized compared with the widely used return-based method. Hypothesis testing was used
-
Evaluating the resource management and profitability efficiencies of US commercial banks from a dynamic network perspective Financial Innovation (IF 6.793) Pub Date : 2024-01-03 Qian Long Kweh, Wen-Min Lu, Kaoru Tone, Hsian-Ming Liu
The central concept of strategic benchmarking is resource management efficiency, which ultimately results in profitability. However, little is known about performance measurement from resource-based perspectives. This study uses the data envelopment analysis (DEA) model with a dynamic network structure to measure the resource management and profitability efficiencies of 287 US commercial banks from
-
Business cycle and herding behavior in stock returns: theory and evidence Financial Innovation (IF 6.793) Pub Date : 2024-01-03 Kwangwon Ahn, Linxiao Cong, Hanwool Jang, Daniel Sungyeon Kim
This study explains the role of economic uncertainty as a bridge between business cycles and investors’ herding behavior. Starting with a conventional stochastic differential equation representing the evolution of stock returns, we provide a simple theoretical model and empirically demonstrate it. Specifically, the growth rate of gross domestic product and the power law exponent are used as proxies