Financial Economics

This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We apply MGARCH-BEKK and the algorithm-based GA2M machine learning model. The negative shocks to returns impact the S&P500 and the cryptocurrency market more than the positive shocks on both markets. This study also indicates evidence of unidirectional cross-market asymmetric volatility transmission from the cryptocurrency market to the S&P500 during the COVID-19 pandemic. The research findings show the potential benefit of portfolio diversification between the S&P500 and BGCI.

Post World War II economic history can be thought of as evolving within two distinct
political-economic regimes. The high growth Golden Age was based on socially or politically ‘embedded’ domestic markets, government responsibility for aggregate demand growth, and state control over cross-border economic activity. It lasted until the early 1970s, to be replaced, after a decade of turbulence, by the Neoliberal Regime, built on deregulation, liberalization, privatization, and ever-tighter global integration. The Neoliberal Regime took root in the 1980s and consolidated in the 1990s. It has now been in place long enough to permit a preliminary analysis and evaluation of its economic performance.

Using monthly data spanning from 1993 to 2021 and employingthe DCC-GARCH model, this study examines the role ofEconomic Policy Uncertainty (EPU) as a potential exogenousfactor impacting the correlation of Brazil, Russia, India, andChina (BRIC) economies’ stock markets, which is new to theliterature. Further, this dynamic correlation series is used as adependent variable while EPU of BRIC and USA is used as anindependent variable by utilizing the autoregressive distributedlag (ARDL) model. The study finds a positive and significantshort-run as well as the long-run impact of Russia’s and theUS’s EPU on their stock markets. In other words, as the EPUof the USA increases, the correlation of BRIC with the USAStock Market and the World Stock Market increases, suggestingminimum diversification opportunities for the investors. Thestudy also recommends that investors diversify their portfoliosby considering cross borders assets avenues to gain maximumreturns and reduce portfolio risk.JEL Cla...

Understanding the co-movement and lag–lead relations among indices is integral to financial decision making. These parameters show the reactiveness of the market towards new information. Understanding them helps to minimize risk and facilitates optimal portfolio diversification. By employing the wavelet coherence econometric model, the authors of this study analyzed the intricate relations among the Bond and Ṣukūk indices using global data belonging to the United States (US), the United Kingdom (UK), Middle East and North Africa (MENA), and Gulf Cooperation Council (GCC) countries. The findings indicated the presence of strong but similar implications of the initial shock of COVID-19 deaths on both Islamic and conventional markets’ volatilities, especially in long-term investment bands (64–128 days). The results oppose the general belief that Islamic finance is more sustainable and less volatile to crises than its traditional counterparts. Moreover, the authors of this study report ...

This paper investigates‐whether liquidity and liquidity risk are priced in Japan. Using modified Amihud illiquidity measures, we find both cross‐sectional and time series evidence that liquidity is priced in the Japanese stock market during the period 1975–2006. The evidence is largely consistent with Amihud's (2002) findings in the US market. We further employ the liquidity‐adjusted CAPM proposed by Acharya and Pedersen (2005) to examine whether liquidity risk is priced in Japan. Consistent with Acharya and Pedersen's findings in the US, we show that liquidity risk is priced in the stock market, in addition to the liquidity level. These findings strengthen the confidence that liquidity is a determinant of stock returns.

Tóm tắt: Nghiên cứu mô hình hóa biến động của thị trường chứng khoán Việt Nam dựa trên dữ liệu chuỗi thời gian là giá đóng cửa hàng ngày của chỉ số VN-Index trong giai đoạn 2005 -2016. Các phân tích được thực hiện bằng mô hình GARCH cân xứng và bất cân xứng. Theo tiêu chí AIC và SIC, nghiên cứu chứng minh rằng GARCH (1,1) và EGARCH (1,1) được đánh giá là mô hình thích hợp nhất để đo lường các dao động đối xứng và bất đối xứng của VN-Index. Nghiên cứu cung cấp bằng chứng cho sự tồn tại của các hiệu ứng bất cân xứng (đòn bẩy) bởi các tham số của mô hình EGARCH (1,1) cho thấy các cú sốc tiêu cực có ảnh hưởng đáng kể đến phương sai có điều kiện (biến động), tuy nhiên ở mô hình TGARCH (1,1) thì kết quả không như kỳ vọng. Nghiên cứu cũng cung cấp cho nhà đầu tư một công cụ để dự báo tỷ suất lợi tức của thị trường chứng khoán. Đồng thời, kết quả nghiên cứu sẽ giúp nhà đầu tư nhận định được mức lợi nhuận và sự biến động của thị trường để từ đó đưa ra quyết định đúng đắn trong việc nắm giữ các chứng khoán.

This study examined interest rate variations among banks in Ghana. The objective of the study was to estimate the key driving factor(s) that influences interest rate spreads in Ghana. It was also the aim of this study to examine the impact of the 2008/2009 financial crises on this relationship, to know whether ownership (foreign and local banks) differences in this relationship is significant and to know whether age of the bank determines their interest rate spread. The study used an unbalanced panel of all 28 banks from 2000 to 2011. The fixed effect estimation technique was employed throughout the analysis of data. The study found that, for bank specific variables, age of a bank was significant and a positive determinant of net interest margin while ownership structure had a significant negative impact on net interest margin. This suggests that banks that have been in operations in the country for a long time seem to enjoy higher interest margins while generally most of the foreig...

O presente artigo apresenta uma ferramenta desenvolvida no MS-Excel que visa melhorar a acuracia da analise custo-volume-lucro em micro e pequenas empresas (MPEs) multiprodutoras. Elaborada a partir das limitacoes da aplicacao pratica dos conceitos da analise custo-volume-lucro em ambiente de empresas multiprodutoras e considerando as restricoes de recursos comuns as MPEs, a ferramenta proposta e de facil utilizacao e, quando comparada com os resultados obtidos por estimativas de margens de contribuicoes medias, apresenta ganhos consideraveis na confiabilidade dos resultados apresentados. Sua aplicacao foi realizada atraves de um estudo de caso em uma empresa de recarga de cartuchos. Atraves dos resultados obtidos foi possivel identificar divergencias de aproximadamente 30% entre os valores estimados pelos gestores da empresa e os obtidos pelo acompanhamento diario de margens.

Investments such as venture capital, buyouts, distressed debt or assimilated, have the peculiarity of being difficult to value due to their illiquid nature on the market. The lack of transparency is determined by the market value being either determined infrequently or estimated through an "appraisal" process. Both methods of evaluation lead to the "smoothing" of returns, implying that the reported performance metrics are biased: in particular, the estimated volatility is lower than the true volatility of the investment. We propose and test two multi-index methods to evaluate performance of mezzanine, distressed debt and hedge funds, aiming at overcoming the existing gaps in the current traditional portfolio analysis. The proposed models are able to capture non-linear market effects -asset class exposure and style factor model -with the advantage of remaining in the simple framework of the linear regression analysis. We discuss the results obtained and compare them with the outcomes of a traditional regression analysis. The paper is organized as follows: section 1 provides additional arguments to support the current methodology; section 2 presents the two types of methods used in the analysis and introduces the extensions to these models to incorporate market-lagged effects; section 3 describes the data used for the analysis, namely series of returns for three funds: mezzanine, distressed debt, and hedge fund; section 4 provides interpretation and comparisons of the results obtained when using different specifications of the first method based on the asset class exposure models whereas section 5 discusses the results obtained from different specifications of the style factor model. Finally, section 6 summarizes the main achievements.

Peak oil recognition is growing both among the oil experts and the generalist media. However the world crude oil markets and in particular the NYMEX futures market seem to point to prediction of long term inexpensive crude. In this paper we analyse the price curve of the NYMEX crude oil futures con-tracts for different dates and we compare the results with Peak Oil projected time frames as presented by several researchers. From this study we conclude that, at present, the market traders don't expect a future rise in the crude oil prices. This way, the market investors seem to be at odds with the – by now clearly accepted – peak of oil production.

Ethiopia's decision to open its banking sector to foreign banks represents a major economic shift, expected to boost competition and enhance service quality. Foreign banks can expand financial inclusion and bring in advanced technologies, supporting digital commerce through systems like MasterCard and PayPal. Their entry may also impact the Ethiopian Birr, interest rates, and macroeconomic policies. Drawing lessons from other African countries, the paper explores both opportunities-such as stronger financial infrastructure and global market access-and challenges, including regulatory control and national sovereignty. The study offers a balanced view on how this move can drive growth and digital entrepreneurship.

The rapid advancement of Artificial Intelligence (AI) has transformed financial markets by enhancing risk management, optimizing portfolio allocation, and revolutionizing algorithmic trading. Traditional financial decision-making, which relied on historical data, expert intuition, and rule-based models, often struggled to adapt to market volatility and systemic risks. AI-driven models, powered by machine learning, deep learning, and predictive analytics, now enable real-time risk assessment, improved asset allocation strategies, and enhanced trading efficiency. By processing vast amounts of structured and unstructured data, AI systems can identify complex patterns, detect anomalies, and predict market trends with greater accuracy than conventional methods. In risk management, AI enhances predictive accuracy by analyzing macroeconomic indicators, financial statements, and alternative data sources to assess credit and market risks dynamically. AI-based portfolio optimization algorithms utilize techniques such as reinforcement learning and evolutionary computation to create adaptive investment strategies that respond to market fluctuations. Furthermore, AI has redefined algorithmic trading by enabling high-frequency trading, sentiment analysis-based strategies, and automated order execution, increasing market efficiency while minimizing latency. Despite these advancements, AI adoption in financial markets presents challenges, including model interpretability, regulatory compliance, and algorithmic bias. The black-box nature of AI models raises concerns regarding transparency and accountability, necessitating the development of Explainable AI (XAI) frameworks. Additionally, regulatory bodies are working to establish guidelines to ensure fairness, mitigate systemic risks, and promote ethical AI deployment. This paper explores AI's transformative role in financial markets, highlighting its benefits, challenges, and future research opportunities in creating a more efficient and resilient financial ecosystem.

This paper examines the stock price impact of international dual listings. The sample consists of 181 firms from 35 countries that instituted their first Depositary Receipt program over the period 1985-1995. The market reaction to a Depositary Receipt program is larger in magnitude and more pervasive than previously reported. The stock price reaction is related to choice of exchange, geographical location (i.e., emerging or developed markets), and avenues for raising equity capital (i.e., public versus private offerings).

This study proposes a new measure and test of herding which is based on the crosssectional dispersion of factor sensitivity of assets within a given market. This new measure enables us to evaluate the directions towards which the market may be herding and separate these from movements in fundamentals. We apply the test to an analysis of the US, UK, and South Korean stock markets and somewhat surprisingly, find statistically significant evidence of herding towards "the market portfolio" during relatively quiet periods rather than when the market is under stress. The approach also allows us to investigate herding towards other factors beyond the market factor and we find that the US market shows significant herding towards "value" after the Russian Crisis in 1998.

This study aims to analyze the influence of macro economy between composite stock prices index. The dependent variable in this study was represented by the composite stock price index, while the independent variables consist of exchange rate, interest rate, inflation and oil price. The sampling used in this research observation period were 6 years during 2010-2015, then the data was analyzed by Multiple Linear Regression Test. The results of this study indicate that there were three variables that affect the composite stock price index, it’s a exchange rate, interest rate and oil prices, while inflation have no effect on composite stock price index. Anova test result indicates exchange rate, interest rate, inflation and oil price simultaneously influence the composite stock price index. The test result show that these variables have significant positive impact on stock prices, i.e 0,000.

Sosyal Sermaye ve Büyüme-Çevre Ödünleşimi: Mikro ve Makro Etkiler Social Capital and Growth-Environment Trade-Off: Micro and Macro Effects Öz Bu çalışma, sosyal sermayenin, bireylerin büyüme-çevre ödünleşimi konusundaki tutumlarını nasıl etkilediğini sosyo-ekonomik/demografik ve makroekonomik değişkenleri dikkate alarak analiz etmektedir. 47 ülke için Dünya Değerler Araştırması (Etap-7, N: 53,155) verilerinin lojistik regresyon modelleri kullanılarak analiz edildiği çalışmada, çevre örgütlerine ve gönüllü kuruluşlara üye olmanın bireylerin çevreyi önceliklendirme olasılığını artırdığı bulunmuştur. Ayrıca sonuçlar kadınların, gençlerin, yüksek eğitimlilerin ve sol görüşlü bireylerin çevreyi önceliklendirme olasılıklarının daha yüksek olduğunu; çocuk sahibi olmanın ve kentte yaşamanın ise büyümeyi önceliklendirme olasılığını arttırdığını göstermektedir. Son olarak, düşük işsizlik oranı, yüksek gelir düzeyine ve düşük emisyon oranına sahip ülkelerde, bireylerin çevreyi büyümeye tercih ettikleri bulunmuştur.

According to general asset pricing theory, options should reward their holders for the systematic risk they are bearing. In this paper, we study the returns of foreign exchange options. We find that, by sorting options according to the distance of their implied volatility from the historical volatility, we obtain portfolios with positive average monthly returns. These returns are not explained by standard aggregate risk factors, which suggest either that additional risk factors should be accounted for, or that investors behavior differs from the traditional paradigm of rational agents.

Employee selection is the process by which the most efficient and qualified employee is selected to occupy a position which should be free from nepotism and favoritism. This should follow a certain criteria in order to ensure that organization gets the best suited candidate for the job without compromising the integrity of the organization. The public service it the main employer of all government workers in Kenya. The general objective of the study was to analysis of the factors influencing selection of employees in the public service in Kenya with the reference to state law office Nairobi. The specific objectives were to establish whether academic qualifications influences employee selection, to determine whether work experience influences employee selection, to determine whether background checks influences selection of employees and to find out whether personal characteristic influences employee selection in the state law office Nairobi. The study used a descriptive research design and conducted a census of all the respondents. Questionnaires were used to collect data from respondents.

Artificial Intelligence (AI) has emerged as a transformative force in the financial technology (Fintech) sector, particularly in the realms of Supervisory Technology (SupTech) and Regulatory Technology (RegTech). As the banking and financial landscape evolves, the implementation of AI tools for regulatory compliance and supervisory functions has become crucial. This paper explores the pivotal role AI plays in enabling banks and financial organizations to meet regulatory demands, enhance compliance, mitigate risks, and improve overall operational efficiency. Leveraging

The government of Indonesia has issued a self-study curriculum for colleges based on the principles of the Fourth Industrial Revolution in the digital age. The new rule recommends an online portfolio as a tool for measuring the success of educational programs. Students at Syiah Kuala University (USK) utilized Story Map electronic portfolios to hone their spatial skills in the General Compulsory Course on Disaster and Environmental Knowledge. This study aims to improve upon the concept of the Story Map and use it as a component of students' electronic portfolios in order to evaluate their capacity to plan for and respond to hydrometeorological disasters. The concept of the Story Map is created as a digital portfolio project, beginning with secondary materials including literature studies, raster and vector data from ESRI and Mapbox. The ability to perceive spatial relationships is measured by collecting primary data in the form of a questionnaire. The findings of a F (Simultaneou...

A drastic changing scenario is observed to manage Financial Supply Chain all over the "World" except Bangladesh. A few Banks or financial institutions in Bangladesh are implementing the concepts of Financial Supply Chain Management to provide benefits to the buyers (Anchors) and suppliers (Vendors). We explored the benefits and challenges of FSC from the management perspective of Bangladesh. The researchers made an effort to support our findings through a case study involving three parties: Bank Asia, Banga Millers limited (a sister concern of PRAN Company), and marginal suppliers. The researchers establish that trios can benefit if a strong Financial Supply Chain system can be established with the help of the latest computer software like VEEFIN. Researchers are aware of the fact that technology makes data transparent and does transaction settlement more successfully. The main objective of this paper is to discover the loopholes and challenges to popularizing the concept ...

The objective of this study is to analyze the impact of financial stability on economic growth in the CEMAC zone. Using annual data over the period 2003-2016, the empirical results from the estimation of a cointegrated panel model using FMOLS and DOLS methods indicate that financial stability has a positive effect on economic growth. Moreover, these results reveal that financial depth does not significantly influence economic growth in the area.

In a series of precedent papers, we have presented a comprehensive methodology, termed Field Economics, for translating a standard economic model into a statistical field-formalism framework. This formalism requires a large number of heterogeneous agents, possibly of different types. It reveals the emergence of collective states among these agents or type of agents while preserving the interactions and microeconomic features of the system at the individual level. In two prior papers, we applied this formalism to analyze the dynamics of capital allocation and accumulation in a simple microeconomic framework of investors and firms. Building upon our prior work, the present paper refines the initial model by expanding its scope. Instead of considering financial firms investing solely in real sectors, we now suppose that financial agents may also invest in other financial firms. We also introduce banks in the system that act as investors with a credit multiplier. Two types of interaction are now considered within the financial sector: financial agents can lend capital to, or choose to buy shares of, other financial firms. Capital now flows between financial agents and is only partly invested in real sectors, depending on their relative returns. We translate this framework into our formalism and study the diffusion of capital and possible defaults in the system, both at the macro and micro level. At the macro level, we find that several collective states may emerge, each characterized by a distinct level of average capital and investors per sector. These collective states depend on external parameters such as level of connections between investors or firms' productivity. The multiplicity of possible collective states is the consequence of the nature of the system composed of interconnected heterogeneous agents. Several equivalent patterns of returns and portfolio allocation may emerge. The multiple collective states induce the unstable nature of financial markets, and some of them include defaults may emerge. At the micro level, we study the propagation of returns and defaults within a given collective state. Our findings highlight the significant role of banks, which can either stabilize the system through lending activities or propagate instability through loans to investors.

We have shown, in a series of articles, that a classical description of a large number of economic agents can be replaced by a statistical fields formalism. To better understand the accumulation and allocation of capital among different sectors, the present paper applies this statistical fields description to a large number of heterogeneous agents divided into two groups. The first group is composed of a large number of firms in different sectors that collectively own the entire physical capital. The second group, investors, holds the entire financial capital and allocates it between firms across sectors according to investment preferences, expected returns, and stock prices variations on financial markets. In return, firms pay dividends to their investors. Financial capital is thus a function of dividends and stock valuations, whereas physical capital is a function of the total capital allocated by the financial sector. Whereas our previous work focused on the background fields that describe potential long-term equilibria, here we compute the transition functions of individual agents and study their probabilistic dynamics in the background field, as a function of their initial state. We show that capital accumulation depends on various factors. The probability associated with each firm's trajectories is the result of several contradictory effects: the firm tends to shift towards sectors with the greatest long-term return, but must take into account the impact of its shift on its attractiveness for investors throughout its trajectory. Since this trajectory depends largely on the average capital of transition sectors, a firm's attractiveness during its relocation depends on the relative level of capital in those sectors. Thus, an under-capitalized firm reaching a high-capital sector will experience a loss of attractiveness, and subsequently, in investors. Moreover, the firm must also consider the effects of competition in the intermediate sectors. An under-capitalized firm will tend to be ousted out towards sectors with lower average capital, while an over-capitalized firm will tend to shift towards higher average-capital sectors. For investors, capital allocation depends on their short and long-term returns. These returns are not independent: in the short-term, returns are composed of both the firm's dividends and the increase in its stock prices. In the long-term, returns are based on the firm's growth expectations, but also, indirectly, on expectations of higher stock prices. Investors' capital allocation directly depends on the volatility of stock prices and firms' dividends. Investors will tend to reallocate their capital to maximize their short and long-term returns. The higher their level of capital, the stronger the re-allocation will be.

El presente documento analiza la sostenibilidad de la deuda publica de Guatemala bajo escenarios de incertidumbre. Para el efecto se emplean dos metodos de estimacion basados en Mendoza y Oviedo (2004) y Garcia y Rigobon (2004). El metodo MendozaOviedo permite hacer un analisis de sostenibilidad de la deuda suponiendo que los ingresos futuros del gobierno son inciertos, mientras que el nivel de gasto se mantiene mas o menos constante. Este metodo proporciona tanto el limite natural de la deuda, como la probabilidad de alcanzar dicho limite en el mediano plazo. Por su parte Garcia y Rigobon estudian la sostenibilidad de la deuda desde una perspectiva del manejo de riesgo. En este caso, todas las variables que explican la acumulacion de la deuda publica se consideran inciertas. Al tomar en cuenta estos aspectos la nocion de la sostenibilidad de la deuda se expande a estudiar las propiedades estocasticas de la dinamica de la deuda.

2 Abstract: The study develops a rate of return on Islamic methods of finance that effects in Pakistani financial organizations. It is necessary that we can understand the rate of return and their implications in Islamic way. This research is created a central role on basis of this research that we have sustained the same idea but focused on rate of return of the Islamic financial institutes with respect to general interest rates of other institutes. This was completed by examine the investors working situation, as an experience and as a progression. This study includes and relates to procedural approach, which we have expressed like "science by doing". This aims of this study is to clear Market Discipline of different Institutions such as banks, financial institutes offering different Islamic Financial Services to the customers. These Islamic organizations, goods and their services planned to fulfill with the Islamic law and prohibit the interest rate. It is one of the ma...

Цифрові технології стали рушійною силою суспільства. Ключовим фактором, який стимулює інформатизацію й цифровізацію суспільства є підвищення досяжності для звичайних користувачів апаратного та програмного забезпечення, масове виведення з використання морально застарілих персональних комп’ютерів, розвиток мережевих технологій тощо. Усе це привело до кардинальних змін у сфері ведення бізнесу. Зміни, які характеризують цифровізацію суспільства, потребують постійного аналізу бізнес-оточення. Для ефективного використання новітніх цифрових технологій бізнес повинен відмовитися від старих традиційних методів і повністю перетворити процеси й моделі роботи з урахуванням нових реалій. Цифрова трансформація змінює не лише підходи до роботи, а й життєвий цикл компанії. Найбільша складність, із якою зіштовхується бізнес під час трансформації, – люди та зміна їх мислення, подолання стереотипів. Кожна компанія вибирає спосіб цифрової трансформації бізнесу, використовуючи свою бізнес-модель, що обу...

In this paper, we study the Black-Litterman (BL) asset allocation model under the hidden truncation skew-normal distribution . In particular, when returns are assumed to follow this skew normal distribution, we show that the posterior returns, after incorporating views, are also skew normal. By using Simaan's three moments risk model , we could then obtain the optimal portfolio. Empirical data show that the optimal portfolio obtained this way has less risk compared to an optimal portfolio of the classical BL model and that they become more negatively skewed as the expected returns of portfolios increase, which suggests that the investors trade a negative skewness for a higher expected return. We also observe a negative relation between portfolio volatility and portfolio skewness. This observation suggests that investors may be making a trade-off, opting for lower volatility in exchange for higher skewness, or vice versa. This trade-off indicates that stocks with significant price declines tend to exhibit increased volatility.

4,16-para-substituted [2,2] paracylophane with naphthalene (PCP⎼NAP), anthracene (PCP⎼ANTH), and tetraphenylethylene (PCP⎼TPE) as a new through-space conjugated dimers were prepared by the Suzuki-Miyaura cross-coupling reaction of 4, 16-diboryl [2,2] paracyclophane and respective bromo derivative using Pd(PPh3)4 as a catalyst and KOH as a base. The synthesized compounds were fully characterized by NMR, HR-MS and their photophysical, and electrochemical properties were studied. The quantum yield of PCP⎼NAP, PCP⎼ANTH and PCP-TPE were calculated and estimated as 0.21, 0.50 and 0.31 respectively. PCP⎼TPE exhibited aggregation-induced emission characteristics when the water fraction was higher than 50% in the THF/water mixtures. PCP-ANTH and PCP-TPE were also characterized by X-ray Crystallography, obtained single crystal of PCP-ANTH crystalizes in centrosymmetric monoclinic space group C2/c. A single crystal of PCP-TPE crystallizes in the centrosymmetric triclinic space group P⎼1 with one molecule residing on the inversion centre. The observed properties of these π-stacked dimers were compared through through-space Conjugation and conjugation length in the structure.

This study analyzes the fear of COVID-19 effect on European stock market returns. For this purpose, the search volumes (SV) collected by Google Trends (GT) and Wikipedia were used as proxies of fear of COVID-19. In a sample from 13 European stock markets, fear of COVID-19 was found to be associated with negative European stock returns. Our research employed this observation to propose an algorithmic trading system based on fear of COVID-19. Back-testing results show the possibility of extraordinary returns based on this system. These findings have important implications for political authorities, the mass media, and investors.

This study analyzes the fear of COVID-19 effect on European stock market returns. For this purpose, the search volumes (SV) collected by Google Trends (GT) and Wikipedia were used as proxies of fear of COVID-19. In a sample from 13 European stock markets, fear of COVID-19 was found to be associated with negative European stock returns. Our research employed this observation to propose an algorithmic trading system based on fear of COVID-19. Back-testing results show the possibility of extraordinary returns based on this system. These findings have important implications for political authorities, the mass media, and investors.

We investigate the impact of heightened political uncertainty in the run-up to, and after, the 2014 Scottish independence referendum. The conditional volatilities of stock returns of our Scottish index and the FTSE all share index are characterised by the same GARCH parameters for a sample ending in late 2013, but this no longer holds when estimation extends closer to the referendum. The relative volatility of Scottish companies' stock returns peaked when polls indicated the referendum result was "too close to call", fell back on the result, but rose again in the run up to publication of proposals for further devolution.

The aim of this study was to build a price model for premium and medium rice in South Sumatra Province, being a major centre for production in Indonesia. This was estimated using the ARCH/GARCH model, based on the weekly data obtained between March 2016 and July 2019. The results showed the occurrence of price volatility for premium and medium variety, despite the polity implementation by government. Therefore, the best volatility model was identified, termed TGARCH (1,1), with a threshold of 1, characterized by futuristic price predictability. In addition, the estimations provide an overview, and also serve as a material for policy evaluation, in order to enhance effectivity and promote the actualization of goals.

For International Valuation Standards (IVS) the estimate of the "forced sale" value implies a value judgment with reference to a degeneration of the market value basis, since "a forced sale" is a description of the situation in which the exchange takes place, not a distinct basis of value (IVS 2022, Par. 170.1).The paper illustrates a model that can be used to measure the difference between market value and forced sale value, as an aid to real estate valuations related to real estate executions. The proposed method is aimed at determining the difference between the estimated values and the final sales values obtained through the executive process, on the basis of the Short Table Comparison Approach (MCA). This method contributes more appropriately to the estimate of the value obtainable from the outcome of the enforcement process than arbitrary reductions in the market value. An application on a small sample of residential properties undergoing enforcement procedure highlights the possibility of using the Short Table MCA even with a limited number of comparables.

The Shapley value for nonatomic games is used to determine the shares of equity and risky debt in the value of a firm facing uncertain growth opportunities. We include the "voting power" attached to equity holdings and focus on the bargaining between shareholders and debtholders, where the two classes may overlap, obtaining an extension of the Modigliani-Miller theorem.

This paper examines the effect of participation in a business incubation program in Oslo, Norway, measured in terms of economic performance, survival rates, and access to public subsidies. Our research involves incubated companies entering an incubator from 2011 and 2016, matching with comparable companies with similar characteristics. Furthermore, we use the data available for these companies in the period 2011-2018 to analyse the effect incubators have on the incubated companies. To measure the effect of incubator participation, we construct a representative control group by using coarsened exact matching combined with nearest Mahalanobis distance. We then use difference-in-differences estimation (DiD) to estimate the effect of the incubator program on the incubated companies. We find that, in terms of performance, the only positive significant effect of incubator participation is on the number of employees. We find no significant effects on value creation or sales revenues. Howev...

To evaluate the existence of possible over and under valuation of exchange rate for Malaysia, the study examines the nature of misalignment in the equilibrium real exchange rate (RER) and its systemic and structural changes in the fundamentals. We account for structural breaks in the data generating process to determine the appropriate order of integration. Based on the suggestion of the weak exogeneity and unit vector analysis, the study estimates the equilibrium and sustainable equilibrium RER (SERER) based on the behavioural equilibrium exchange rate model using multivariate Johansen cointegration and dynamic ordinary least squares techniques. The result reveals that variation in the SERER is collectively accounted by the real capital formation, government consumption expenditure, capital flows and degree of openness. Furthermore, the study identifies changes in the final consumption expenditure as the major factor that leads to persistent variation in the RER. Nevertheless, the SERER consistently appreciates slightly throughout the sample period with little forms of neutralized depreciation. The consistency in the SERER appreciation is accounted for by the increase in real capital formation. Moreover, the finding on misalignment shows three episodes; the relative sustainable equilibrium with slight evidence of fluctuation; a bit undervaluation with trivial adjustment and the episodes of overvaluation. The policy implication of the study is that, policymakers should focus on fiscal policies that work towards greater import substitution strategies; inter-temporal substitution effect of close substitute of non-tradable commodities and monetary policies that reduce capital outflows.

From a statistical point of view, the prevalence of non-Gaussian distributions in financial returns and their volatilities shows that the Central Limit Theorem (CLT) often does not apply in financial markets. In this paper we take the position that the independence assumption of the CLT is violated by herding tendencies among market participants, and investigate whether a generic probabilistic herding model can reproduce non-Gaussian statistics in systems with a large number of agents. It is well-known that the presence of a herding mechanism in the model is not sufficient for non-Gaussian properties, which crucially depend on the details of the communication network among agents. The main contribution of this paper is to show that certain hierarchical networks, which portray the institutional structure of fund investment, warrant non-Gaussian properties for any system size and even lead to an increase in system-wide volatility. Viewed from this perspective, the mere existence of financial institutions with socially interacting managers contributes considerably to financial volatility.

Perusahaan dalam mencapai tujuan yang diinginkannya membutuhkan sumber pembiayaan yang dapat diperoleh melalui pembiayaan internal dan pembiayaan eksternal. Keputusan pendanaan perusahaan akan berpengaruh terhadap kondisi struktur modal perusahaan yang merupakan bauran sumber pendanaan permanen (jangka panjang). Struktur modal sangatlah penting bagi perusahaan untuk dapat memaksimalkan nilai perusahaan. Oleh karena itu manajemen akan berusaha membentuk bauran pendanaan yang optimal yang disebut dengan struktur modal optimal. Bagi investor di pasar modal perubahan struktur modal perusahaan akan mempengaruhi return yang diperoleh karena berkaitan dengan terjadinya perubahan nilai perusahaan. Salah satu bentuk pendanaan bagi perusahaan adalah dengan menerbitkan obligasi. Penerbitan obligasi akan menyebabkan terjadi peningkatan leverage perusahaan. Di satu sisi peningkatan leverage akan membawa keuntungan bagi perusahaan berupa tax shield dimana perusahaan dapat mengurangi bagian dari e...

The goal of most empirical studies in econometrics and other social sciences is to determine whether a change in one variable causes a change in or helps to predict another variable. Granger causality modeling approach is quite popular in experimental and nonexperimental fields which involve some dynamic econometric time series methodologies. In this paper, Granger causality and co-integration tests were employed in the empirical modelling of seven economic indicators in Nigeria. The results alternated between bidirectional, uni-directional and no causality among the economic indicators considered. Prior to the Granger causality tests, we tested for stationarity in the variables using the Augmented Dickey-Fuller (ADF) procedure. The variables proved to be integrated of either I(1) or I(2). Johansen co-integration test reveals that at 5% level of significance, we have at least four co-integrating pairs among the variables. This verifies the fact that when two or more time series are ...

• Two stages of multiple structural break model and improved A-MF-DFA model are applied to investigate the asymmetric volatility of bulk shipping market. • Asymmetric properties vary in different vessel sizes of bulk ships. • The switching points detected by improved A-MF-DFA gather around the structural breaking points. • Combination of two methods could detect the unobvious switching points.

In this paper we compare two sets of risk measures with respect to the criteria of first and second order stochastic dominance. We observe that overall risk measures do not preserve consistent preference ordering between assets under the first order stochastic dominance rule, while the downside risk measures, with the exception of Expected Shortfall (es), do preserve a consistent preference ordering under first order stochastic dominance. Further, risk measures except es preserve consistent preference ordering between assets under the second order stochastic dominance rule, although for some of the downside risk measures such preference ordering is only partial.