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Journal of Risk and Financial Management, Volume 13, Issue 5

May 2020 - 22 articles

Cover Story: This paper dynamically analyses the comovements between Germany, the UK, and the US, and the countries of the European Union, using correlation coefficients based on detrended cross-correlation analysis (DCCA) and a sliding window approach, allowing for a time-varying analysis. Results suggest that Germany and other Eurozone countries generally share high levels of comovements, although the decision about Brexit reduced those connections. It is also possible to see that the subprime crisis increased the comovements among markets. View this paper.
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Articles (22)

  • Article
  • Open Access
2 Citations
3,074 Views
8 Pages

The relative bargaining power of the buyer and seller is a key feature of real estate pricing models. Classic real estate studies have sought to address bargaining effects in hedonic regression models. Prior research proposes a procedure to estimate...

  • Article
  • Open Access
5 Citations
3,368 Views
17 Pages

Competition, Debt Maturity, and Adjustment Speed in China: A Dynamic Fractional Estimation Approach

  • Sultan Sikandar Mirza,
  • Tanveer Ahsan,
  • Raheel Safdar and
  • Ajid Ur Rehman

The purpose of this study was to investigate the capital structure adjustment rate in different levels of product market competitions. We classified Chinese non-financial listed firms into highly, moderately, and less competitive firms and applied an...

  • Editorial
  • Open Access
74 Citations
21,825 Views
7 Pages

Risk and Financial Management of COVID-19 in Business, Economics and Finance

  • Chia-Lin Chang,
  • Michael McAleer and
  • Wing-Keung Wong

The SARS-CoV-2 coronavirus that causes the COVID-19 disease led to the most significant change in the world order over the past century, destabilizing the global economy and financial stock markets, the world’s economy, social development, busi...

  • Article
  • Open Access
49 Citations
17,840 Views
15 Pages

Corporate Governance and Agency Cost: Empirical Evidence from Vietnam

  • Anh Huu Nguyen,
  • Duong Thuy Doan and
  • Linh Ha Nguyen

This study examines the impact of corporate governance, reflecting a wide spectrum of board characteristics and ownership structure on agency costs in 281 listed companies on Ho Chi Minh Stock Exchange (HOSE) in Vietnam in the period 2013–2018....

  • Article
  • Open Access
2 Citations
4,900 Views
21 Pages

Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be estab...

  • Article
  • Open Access
16 Citations
7,244 Views
16 Pages

The main aim of this article was to assess whether the level of competitiveness of accommodation facilities results from the level of safety and security provided to consumers of these services, measured by the number of security measures applied in...

  • Article
  • Open Access
3 Citations
6,622 Views
22 Pages

Monthly Art Market Returns

  • Fabian Y.R.P. Bocart,
  • Eric Ghysels and
  • Christian M. Hafner

We provide an innovative methodological contribution to the measurement of returns on infrequently traded assets using a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation with other ma...

  • Comment
  • Open Access
1 Citations
2,193 Views
5 Pages

In a recent paper, Karadima and Louri use frontier-based measures of market power and bank competition in an application to Euro Area banking. The purpose of the present note is to access their paper in a critical way, as there are certain fallacies...

  • Article
  • Open Access
1 Citations
6,542 Views
21 Pages

Prior studies found that analyst forecast dispersion predicts future market returns. Some prior studies attribute this predictability to the short-sale constraints in the market according to the overpricing theory. Using the U.S. data from 1981 to 20...

  • Article
  • Open Access
83 Citations
17,098 Views
15 Pages

This study examines the moderating effect of firm size on the relationship between innovation and firm performance of small and medium enterprises in 29 countries in Eastern European and Central Asia. The study also investigates whether the impact of...

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J. Risk Financial Manag. - ISSN 1911-8074