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Journal of Risk and Financial Management, Volume 14, Issue 3

2021 March - 51 articles

Cover Story: This paper investigates the impacts of pandemic uncertainty on Foreign Direct Investment (FDI) using the new World Pandemic Uncertainty Index based on a sample of 142 economies and sub-samples (incomes and regions) from 1996 to 2019. Using the two-step system, the Generalised Method of Moments estimation of linear dynamic panel-data model, the results suggest that pandemic uncertainty highly affects international firms’ behaviour, which subsequently leads to a decline in FDI. Furthermore, FDI is more sensitive to pandemic shocks in emerging economies and the Asia-Pacific region than in any other economies or regions. Our findings suggest that measures to support foreign investors, such as trade agreements and economic clusters, should be implemented for economic recovery towards sustainable development. View this paper.
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Articles (51)

  • Article
  • Open Access
5 Citations
7,207 Views
14 Pages

This paper studies potato prices and consumption in the progress of economic development. Potato status tends to evolve from a luxury to a normal and, lastly, to an inferior good. In the developed world, where the potato thrived and became a food for...

  • Article
  • Open Access
5,958 Views
27 Pages

Quanto Pricing beyond Black–Scholes

  • Holger Fink and
  • Stefan Mittnik

Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess t...

  • Article
  • Open Access
21 Citations
8,624 Views
17 Pages

Credit Risk Model Based on Central Bank Credit Registry Data

  • Fisnik Doko,
  • Slobodan Kalajdziski and
  • Igor Mishkovski

Data science and machine-learning techniques help banks to optimize enterprise operations, enhance risk analyses and gain competitive advantage. There is a vast amount of research in credit risk, but to our knowledge, none of them uses credit registr...

  • Article
  • Open Access
14 Citations
10,517 Views
26 Pages

Operational risk is defined as the potential losses resulting from events caused by inadequate or failed processes, people, equipment, and systems or from external events. One of the most important challenges for the management of the company is to i...

  • Article
  • Open Access
21 Citations
5,833 Views
13 Pages

This study further empirically examines the influence of board independence on financial performance by using the world’s top 1000 firms. CEO duality and the percentage of independent directors are used as the indicators of board independence. Moreov...

  • Article
  • Open Access
6 Citations
5,695 Views
19 Pages

Impact of Financial Support on Textile Enterprises’ Development

  • Kateryna Boichenko,
  • Mário Nuno Mata,
  • Pedro Neves Mata and
  • Jéssica Nunes Martins

The purpose of this study is to determine the mutual influence of financial security on the textile enterprises development level. The proposed methodological approach is based on the formation of an integrated financial security indicator and its re...

  • Article
  • Open Access
1 Citations
3,177 Views
22 Pages

Well-Being Impact on Banking Systems

  • Iulia Cristina Iuga and
  • Larisa-Loredana Dragolea

The present research focuses on the influence of the well-being indicators, more specifically, the indicators reflecting the life quality on the banking systems evolution from the EU member states. The study offers a unique approach to comparing the...

  • Article
  • Open Access
13 Citations
4,774 Views
15 Pages

In this paper, we study the growth effects of the 2004 Eastern enlargement of the European Union (EU) using the synthetic control method. We estimate that this EU enlargement had an immediate but modest positive impact on the economic growth of the E...

  • Article
  • Open Access
9 Citations
12,311 Views
28 Pages

‘Financial crisis’ is sometimes regarded as synonymous with ‘economic crisis’, but this is an oversimplification and risks missing the feedback loops between the financial and real economies. In this paper, the role of money is revisited in the conte...

  • Article
  • Open Access
1 Citations
3,411 Views
19 Pages

The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as VAPutω(s)=supτTEs[e0τω(Sw)dw(KSτ)+], where T is a...

  • Article
  • Open Access
3 Citations
3,578 Views
16 Pages

This paper investigates the relationship between corporate governance quality and the cost of equity capital, intended as the discount rate the market applies to a firm’s expected future cash flows to evaluate the current share price. Using data from...

  • Article
  • Open Access
2 Citations
6,978 Views
16 Pages

One of the IPO-related anomalies that have been well-discussed in the finance literature is the IPO’s long-running underperformance. Two of the major explanations of that phenomenon are: “Hot market” and earnings management. This study investigates t...

  • Article
  • Open Access
7 Citations
4,796 Views
13 Pages

Does Risk Disclosure Matter for Trade Credit?

  • Issal Haj-Salem and
  • Khaled Hussainey

In this paper, we examine the impact of risk disclosure practices on trade credit. We hypothesize that risk information could reduce information opacity that arises between companies and their suppliers. We collected annual reports for Tunisian liste...

  • Article
  • Open Access
5 Citations
6,257 Views
18 Pages

Towards Full-Fledged Inflation Targeting Monetary Policy Regime in Mauritius

  • Ashwin Madhou,
  • Tayushma Sewak,
  • Imad Moosa,
  • Vikash Ramiah and
  • Florian Gerth

An increasing number of emerging and developing countries have adopted or are transitioning towards full-fledged inflation targeting (FFIT) as the main monetary policy framework to anchor inflation. In this paper, we explore the FFIT regime as a mean...

  • Article
  • Open Access
17 Citations
6,362 Views
25 Pages

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant...

  • Article
  • Open Access
3 Citations
2,813 Views
12 Pages

In this paper, we explore the relationship between a firm’s environmental policies and their risk-adjusted stock returns, using a sample of stock exchange-listed Australian firms over the period of 2010–2018. We observed a positive and statistically...

  • Article
  • Open Access
4,384 Views
31 Pages

This paper aims to develop some static and conditional (dynamic) models to predict portfolio returns in the Borsa Istanbul (BIST) that are calibrated to combine the capital asset-pricing model (CAPM) and corporate governance quality. In our condition...

  • Article
  • Open Access
17 Citations
5,852 Views
30 Pages

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understandi...

  • Article
  • Open Access
11 Citations
6,789 Views
15 Pages

The purpose of our paper is to investigate whether any differences between International Financial Reporting Standards (IFRS) and local Generally Accepted Accounting Principles (GAAP) impact the transparency of financial reporting of non-listed compa...

  • Article
  • Open Access
4 Citations
11,367 Views
14 Pages

Machine Learning in Futures Markets

  • Fabian Waldow,
  • Matthias Schnaubelt,
  • Christopher Krauss and
  • Thomas Günter Fischer

In this paper, we demonstrate how a well-established machine learning-based statistical arbitrage strategy can be successfully transferred from equity to futures markets. First, we preprocess futures time series comprised of front months to render th...

  • Article
  • Open Access
23 Citations
9,160 Views
21 Pages

In recent years, machine learning techniques have assumed an increasingly central role in many areas of research, from computer science to medicine, including finance. In the current study, we applied it to financial literacy to test its accuracy, co...

  • Article
  • Open Access
18 Citations
8,529 Views
17 Pages

Digital Transformation of Public-Private Partnership Tools

  • Lyudmila Tolstolesova,
  • Igor Glukhikh,
  • Natalya Yumanova and
  • Otabek Arzikulov

The need for modern infrastructure as a prerequisite for sustainable development, poverty alleviation, and improvement of the quality of life of the population is a global problem that requires searching for and attracting large amounts of long-term...

  • Article
  • Open Access
24 Citations
12,542 Views
22 Pages

Financial literacy is extremely important, both from the perspective of the financial well-being of individuals and the stability of the financial market and the whole economy. The more financially literate a bank’s customers are, the more frequently...

  • Communication
  • Open Access
2 Citations
3,298 Views
7 Pages

Sustainable Development Goal 16 talks about Peace, Justice, and Strong Institutions, and goal 10 talks about reducing inequality. A major problem exposed by the COVID-19 crisis is that public deficits seem to be the normal state in the business cycle...

  • Article
  • Open Access
46 Citations
6,611 Views
17 Pages

Financing Growth through Remittances and Foreign Direct Investment: Evidences from Balkan Countries

  • Esmeralda Jushi,
  • Eglantina Hysa,
  • Arjona Cela,
  • Mirela Panait and
  • Marian Catalin Voica

The ultimate goal of central banks, worldwide, is to promote the foundations for sustainable economic growth. In the case of developing economies, in particular, such objective requires time, huge efforts, attention, and plenty of resources in order...

  • Article
  • Open Access
5 Citations
3,040 Views
18 Pages

Dynamic Responses of Standard and Poor’s Regional Bank Index to the U.S. Fear Index, VIX

  • Bahram Adrangi,
  • Arjun Chatrath,
  • Madhuparna Kolay and
  • Kambiz Raffiee

This study examines the reaction of the Standard and Poor’s Regional Bank Index (SPRB) to the U.S. equity market fear index (i.e., the Chicago Board of Trade Volatility Index [VIX]). The VIX is designed to perform as a leading indicator of the volati...

  • Article
  • Open Access
11 Citations
4,342 Views
15 Pages

Plato as a Game Theorist towards an International Trade Policy

  • George E. Halkos,
  • Nicholas C. Kyriazis and
  • Emmanouil M. L. Economou

In the beginning of the second book of his Politeia (Republic) Plato in passage 2.358e–359a–c raises the issue of the administration of justice as a means of motivating people to behave fairly regarding their relationships and when cooperating with e...

  • Article
  • Open Access
33 Citations
12,540 Views
20 Pages

This study focused on scrutinizing the influence of Enterprises Risk Management (ERM) on firm performance with a mediating role of Business Model Innovation (BMI). For the purpose, data from 228 Jordanian firms was collected and analyzed. The results...

  • Article
  • Open Access
13 Citations
5,709 Views
12 Pages

The aim of the paper is to assess the evolution of the cost of credit risk (CoR) of Polish banks as a result of the COVID-19 pandemic in the first three quarters of 2020 as well as its microeconomic determinants. We analysed the structural diversity...

  • Article
  • Open Access
28 Citations
4,586 Views
22 Pages

There is a lack of a holistic perspective on bank performance. This study proposes a multidimensional (three-pronged) approach encompassing regulation, profitability, and nonperforming assets (NPAs) and their interactions as a measure of the performa...

  • Article
  • Open Access
35 Citations
4,715 Views
37 Pages

We attempted to comprehensively decode the connectedness among the abbreviation of five emerging market countries (BRICS) stock markets between 1 August 2002 and 31 December 2019 not only in time domain but also in frequency domain. A continuously va...

  • Article
  • Open Access
4,360 Views
26 Pages

The paper retrospectively analyses the issue of the impact of international trade on developed countries’ labour markets in the 1990s, when the majority of academic opinion denied the role of trade in the misfortunes of unskilled workers. An analytic...

  • Article
  • Open Access
2,880 Views
14 Pages

This article examines the propensity to pay dividends in the U.S banking sector during 1973–2014. Although the propensity to pay dividends has been declining over the 52 years of our sample period, banks are consistently more likely to pay dividends...

  • Article
  • Open Access
17 Citations
4,727 Views
22 Pages

The European integration process started with the aim of reducing the differences in income and/or living standards between the participating countries over time. To achieve this, a certain alignment of institutions and structures was seen as a neces...

  • Article
  • Open Access
60 Citations
20,773 Views
10 Pages

Globalization and the Outbreak of COVID-19: An Empirical Analysis

  • Mohammad Reza Farzanegan,
  • Mehdi Feizi and
  • Hassan F. Gholipour

The purpose of this study is to examine the relationship between the extension of globalization and coronavirus disease 2019 (COVID-19) case fatality rate (CFR) calculated on 28 July 2020 in more than 150 countries. Our regression analyses show that...

  • Article
  • Open Access
48 Citations
9,742 Views
15 Pages

This paper explores the impacts of health pandemics on foreign direct investment (FDI) using the new world pandemic uncertainty index (WPUI). We investigate the effects of pandemics, including COVID-19, on FDI based on a sample of 142 economies and s...

  • Article
  • Open Access
56 Citations
12,593 Views
17 Pages

While the outbreak of the COVID-19 disease has caused asset markets to experience an unprecedented spike of risk and uncertainty worldwide, the real estate market in many global cities appears to be immune to the adverse effects. How does COVID-19 af...

  • Article
  • Open Access
1 Citations
2,608 Views
16 Pages

This paper explores how to construct a fair and optimal compensation system between the principal and the agent in the face of financial compensation agency problems during a limited period in relation to the concept of sustainability. In the constru...

  • Article
  • Open Access
2,993 Views
15 Pages

We developed a model-free Bayesian extraction procedure for the stochastic discount factor under a yield curve prior. Previous methods in the literature directly or indirectly use some particular parametric asset-pricing models such as with long-run...

  • Review
  • Open Access
33 Citations
11,139 Views
16 Pages

Most cultural heritage projects strive in ensuring financial sustainability, mainly relying on public subsidies. At the same time, they lack fund management policies which directly affects their financial sustainability. European Union heritage polic...

  • Article
  • Open Access
11 Citations
10,295 Views
19 Pages

Performance Management for Growth: A Framework Based on EVA

  • Mihaela Brindusa Tudose,
  • Valentina Diana Rusu and
  • Silvia Avasilcai

Some of the constructs in the field of performance management are intuitive or not empirically validated. This study provides a data-driven framework for measuring and improving the performance through synchronized strategies. The ultimate goal was t...

  • Article
  • Open Access
1 Citations
5,280 Views
40 Pages

Household Wealth: Low-Yielding and Poorly Structured?

  • Marc Peter Radke and
  • Manuel Rupprecht

In this paper, we present a newly generated data set on real returns of households’ aggregated asset holdings, which adds additional and more sophisticated information to existing relevant datasets in the literature. To do this, we draw on various da...

  • Article
  • Open Access
4 Citations
3,859 Views
19 Pages

Why Do Countries Request Assistance from International Monetary Fund? An Empirical Analysis

  • Ifrah Siddique,
  • Muhammad Azmat Hayat,
  • Muhammad Zahid Naeem,
  • Abdullah Ejaz,
  • Cristi Spulbar,
  • Ramona Birau and
  • Toni Calugaru

This paper investigates the determinants behind persistent and prolonged stays under the International Monetary Fund (IMF) program and its effectiveness, using panel data consisting of 70 countries that have requested IMF support multiple times, duri...

  • Article
  • Open Access
4 Citations
5,857 Views
24 Pages

Hezbollah is best defined in geopolitics as the Iranian ideology proxy that aims to grow the Persian footprint and to gain geopolitical strategic depth in the region. Its role continuously requires geopolitical conflicts, mainly against Saudi Arabia...

  • Article
  • Open Access
4 Citations
3,990 Views
18 Pages

It is eminent to understand, be aware of and encourage domestic retail investors towards investment in the capital market in a developing economy such as India for tackling the situation of capital insufficiency and financial instability. Therefore,...

  • Article
  • Open Access
9 Citations
7,367 Views
23 Pages

Choosing Factors for the Vietnamese Stock Market

  • Nina Ryan,
  • Xinfeng Ruan,
  • Jin E. Zhang and
  • Jing A. Zhang

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model...

  • Article
  • Open Access
1 Citations
2,914 Views
19 Pages

Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model

  • Farzad Alavi Fard,
  • Firmin Doko Tchatoka and
  • Sivagowry Sriananthakumar

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the...

  • Article
  • Open Access
27 Citations
12,476 Views
17 Pages

Engineering procurement and construction (EPC) is a normative practice globally approved since China has been engaging in international cooperation under the Belt and Road Initiative (BRI) infrastructure development. EPC has been adopted in the deliv...

  • Article
  • Open Access
83 Citations
12,195 Views
16 Pages

China is the largest CO2 emitter in the world, and it shared 28% of the global CO2 emissions in 2017. According to the Paris Agreement, it is estimated that China’s CO2 emissions will reach its peak by 2030. However, whether or not the CO2 emissions...

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J. Risk Financial Manag. - ISSN 1911-8074