J. Risk Financial Manag.2014, 7(1), 1-12; doi:10.3390/jrfm7010001 - published online 26 February 2014 Show/Hide Abstract
Abstract: Chong and Ng (2008) find that the Moving Average Convergence–Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London Stock Exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is found that the MACD(12,26,0) and RSI(21,50) rules consistently generate significant abnormal returns in the Milan Comit General and the S&P/TSX Composite Index. In addition, the RSI(14,30/70) rule is also profitable in the Dow Jones Industrials Index. The results shed some light on investors’ belief in these two technical indicators in different developed markets.
J. Risk Financial Manag.2013, 6(1), 31-61; doi:10.3390/jrfm6010031 - published online 19 December 2013 Show/Hide Abstract
Abstract: This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the assumption that the log of squared measurement error isnormally distributed. The empirical size and power of the test are examined in Monte Carloexperiments. We apply the test to the Asian stock market indices.
J. Risk Financial Manag.2013, 6(1), 6-30; doi:10.3390/jrfm6010006 - published online 21 October 2013 Show/Hide Abstract
Abstract: This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar series for the VIX in terms of a long sample drawn from the CBOE from 1990 to mid 2011 and a set of returns from SIRCA’s TRTH datasets from March 2005 to-date. This shorter sample, which captures the behavior of the new VIX, introduced in 2003, is divided into four sub-samples which permit the exploration of the impact of the Global Financial Crisis. We apply a series of non-parametric based tests utilizing entropy based metrics. These suggest that the PDFs and CDFs of these two return distributions change shape in various subsample periods. The entropy and MI statistics suggest that the degree of uncertainty attached to these distributions changes through time and using the S&P 500 return as the dependent variable, that the amount of information obtained from the VIX changes with time and reaches a relative maximum in the most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the two distributions and their symmetry all strongly reject their respective nulls. The results suggest that parametric techniques do not adequately capture the complexities displayed in the behavior of these series. This has practical implications for hedging utilizing derivatives written on the VIX.
J. Risk Financial Manag.2013, 6(1), 4-5; doi:10.3390/jrfm6010004 - published online 3 October 2013 Show/Hide Abstract
Abstract: The Journal of Risk and Financial Management (JRFM)is published in full open access by MDPI as of 1 October 2013, when MDPI took over the ownership of the journal. So far, this journal has been published elsewhere in yearly volumes (one issue per yearly volume) since 2008, with a total of 25 papers released up to this moment . Starting from 1 January 2014, the journal will be published in quarterly issues.
J. Risk Financial Manag.2013, 6(1), 1-3; doi:10.3390/jrfm6010001 - published online 1 October 2013 Show/Hide Abstract
Abstract: Financial economics and econometrics have advanced rapidly in recent years, in terms of coverage of topics, the creation of new data sources, the availability of existing high frequency and ultra-high frequency tick data, the growing importance of international financial analysis, the technicality of research topics, and the number of papers and journals publishing such theoretical and practical research.
J. Risk Financial Manag.2012, 5(1), 115-130; doi:10.3390/jrfm5010115 - published online 31 December 2012 Show/Hide Abstract
Abstract: The Bohai Economic Rim plays an important role in supporting China’s economic growth. For this research, we selected nine main ports in the region to study whether intra-port competition or corporatization would improve efficiency. Using a panel fixed effect model and stochastic frontier model, we found that the technical efficiency of selected ports is significantly influenced by the time of the initial public offering than by regional competition. The results are supportive and encouraging for policy makers to move toward the decentralized port governance in China.