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Journal of Risk and Financial Management, Volume 16, Issue 7

July 2023 - 43 articles

Cover Story: A relative price strength ratio (RS) between U.S. stocks (S&P 500) and U.S. commodity markets (producer prices, PPI) is analyzed using an econometric model of cycles with data from 1871 to 2022. The study includes the S&P GSCI and the Bloomberg Commodity indexes using data from 1970 to 2022 and 1960 to 2022, respectively. The financial crisis of 2008 and the COVID-19 pandemic impacts are highlighted. The overriding conclusion, based on a model that approximates an optimal bandpass filter, is that a cyclical phenomenon exists between stock markets and commodity markets for both aggregate and tradeable indexes that can last, from peak to peak, about 31 years. Measuring returns and risks in a manner consistent with these cycles sheds new light on portfolio diversification using commodities. View this paper
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Articles (43)

  • Article
  • Open Access
5 Citations
13,718 Views
16 Pages

This study employs continuous wavelet transforms to model the relationship between Bitcoin volume and prices across time and frequency space using daily data for the period between 17 September 2014 and 10 April 2023. The results show that Bitcoin pr...

  • Review
  • Open Access
3 Citations
6,841 Views
19 Pages

A Literature Review on the Financial Determinants of Hotel Default

  • Theodore Metaxas and
  • Athanasios Romanopoulos

Empirical corporate failure studies focusing on specific economic activities are increasing in number, as this path can be a more precise investigation of default, although still there is a gap in the literature reviews at the sector level. The purpo...

  • Article
  • Open Access
4 Citations
9,349 Views
12 Pages

Impact of Risk Management on the Performance of Commercial Banks in Ghana: A Panel Regression Approach

  • Bismark Von Tamakloe,
  • Alexander Boateng,
  • Eric Teye Mensah and
  • Daniel Maposa

The financial sector is an integral part of the economy, playing a vital role in the overall economic development of a nation, but commercial banks in this sector face a myriad of risks. This has made understanding the impact of risk management on ba...

  • Article
  • Open Access
9 Citations
7,515 Views
19 Pages

The Influence of ESG, SRI, Ethical, and Impact Investing Activities on Portfolio and Financial Performance—Bibliometric Analysis/Mapping and Clustering Analysis

  • Ainulashikin Marzuki,
  • Fauzias Mat Nor,
  • Nur Ainna Ramli,
  • Mohamad Yazis Ali Basah and
  • Muhammad Ridhwan Ab Aziz

This paper aims to examine the publication metrics of literature related to the influential aspects of ESG (environmental, social, and governance), SRI (socially responsible investing), ethical, and impact investing on the portfolio and financial per...

  • Article
  • Open Access
7 Citations
9,311 Views
13 Pages

A Cyclical Phenomenon among Stock & Commodity Markets

  • Hector O. Zapata,
  • Junior E. Betanco,
  • Maria Bampasidou and
  • Michael Deliberto

Considerable studies have examined the relationship between commodity markets and stock markets. This paper studies the cyclical relationship between commodity markets and stock markets with implications for investing based on index relationships. St...

  • Article
  • Open Access
3 Citations
3,352 Views
29 Pages

This paper used the Markov-switching (MS)-based wavelet analysis technique to study the dependence structure and the time–frequency impact of exchange rates on crude oil prices (West Texas Intermediate (WTI)) and stock returns. Daily data from...

  • Article
  • Open Access
7 Citations
10,064 Views
15 Pages

The COVID-19 pandemic had a wide-ranging impact, resulting in a global recession due to weakened purchasing power. This circumstance necessitates business organizations adapting to developments and being more conscious of the risk of financial statem...

  • Article
  • Open Access
2 Citations
2,982 Views
30 Pages

Our study shows how the United States government can achieve its goal of Nationally Determined Contribution (NDC) in 2025, 2030, and 2050 by reducing energy consumption through a pure carbon tax. To achieve its emissions reduction goals, it is necess...

  • Article
  • Open Access
4 Citations
3,882 Views
22 Pages

In this paper, we use a copula to examine the relationship and dynamic dependence structure between the crude oil market and the BRICS countries’ stock indices expressed through financial crises, from the 2008 global financial crisis to COVID-1...

  • Article
  • Open Access
2 Citations
2,462 Views
18 Pages

Montenegrin Stock Exchange Market on a Short-Term Perspective

  • Tamara Backović,
  • Vesna Karadžić,
  • Sergej Gričar and
  • Štefan Bojnec

The objective of this study is to analyse the constitution of the emerging Montenegrin stock exchange. Four methodological time-series econometric steps are involved: the augmented Dickey–Fuller (ADF) test, run test, autocorrelation function (A...

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J. Risk Financial Manag. - ISSN 1911-8074