2023 September - 39 articles
This study explores fiscal consolidations’ impact on non-performing loans (NPLs) in highly indebted countries (HICs) following the global financial crisis (GFC) and subsequent sovereign debt crisis. A dynamic panel data estimator was applied to...
This article deals with the identification of a superior forecasting method for market liquidity using a calibrated Heston model for the bid/ask price path simulation instead of a standard Brownian motion, as well as a compound Poisson process and in...
The futures contracts were introduced to act as hedging instruments and ensure the price discovery (referred to as PD hereafter) mechanism for the underlying securities. If the price movement of a futures contract leads the price movement of the unde...
This research investigates the role of the large, medium, and small market cap portfolios in returns during the COVID-19 pandemic, around the ‘lockdown’ policy in March 2020 based on the Norwegian market. The main results suggest that dur...
This research will examine the impact of the adoption of financial technology on conventional banks’ financial performances. The research will place emphasis on the listed commercial banks at Amman Stock Exchange—ASE, using financial data...
Using daily closing price observations between November 2017 and February 2023, this paper documents how the shocks of a cryptocurrency ETF resonate with ETFs representing traditional asset classes in terms of price and volatility. We find price tran...
Despite the shift to private sector-driven affordable housing in Nigeria for decades, the housing deficit has continued to increase to the disadvantage of low-income families. This paper explores the enabling strategies for stimulating private-driven...
In this paper, I propose a tracking error approach using the P/E ratio equation to approximate the CAPE Ratio. After accounting for the recent structural changes in the composition and valuation of the S&P 500 index, along with a persistently low...
This paper proposes a unified framework for the detection of statistically significant changes in time series related to Bitcoin transactions. The time locations of these changes are linked to the occurrences of events which could be further investig...
Due to rapid technological advancements and intense competition, organizations must find new ways to do business. As a result, changes in an organization’s structures, systems, and strategies are now a pre-requisite to survive the competition....
The Bank of Ghana (BoG) joined the Basel Consultative Group (BCG) of the Basel Committee on Banking Supervision (BCBS) in 2021 and is proceeding with the implementation of the Basel III international regulatory framework for Ghanaian banks. The purpo...
The study aims to investigate the factors that contribute to credit risk in Ethiopian commercial banks, considering both macroeconomic and bank-specific factors. The research utilized multiple regression models, a quantitative research approach, and...
The distributions for highly volatile financial time-series data are playing an increasingly important role in current financial scenarios and signal analyses. An important characteristic of such a probability distribution is its tail behaviour, dete...
Even though the application of real options theory in international business research has increased substantially, the measurement of collaborative synergies in international sequential acquisition by means of advanced real options is still the theor...
The paper focuses on the factors that determine the size of an open market share repurchase in the UK. The testing covers the time period 1985–2014 and tests if the traditional motives for repurchasing shares also determine the size of the repu...
Vasicek’s asymptotic single risk factor (ASRF) model is employed by the Basel Committee on Banking Supervision (BCBS) in its internal ratings-based (IRB) approach for estimating credit losses and regulatory credit risk capital. This methodology...
This article analyzes the implicit hedging and liquidity costs of structured equity products offered by various financial institutions. We replicate several payoffs of structured products, compare the calculated fair values based on the Heston model...
The ‘Big Four’ accountancy firms dominate the auditing market, auditing almost all the Financial Times Stock Exchange (FTSE) 100 companies. This leads to people having to accept auditing results even if they may be poor quality and/or for...
We use a three-sector overlapping generations model to examine the efficiency characteristics and income distribution in the long-run steady-state equilibrium. Assuming two sectors produce intermediate goods within an oligopolistic competition, we ex...
The standard formulas for calculating the value of a firm’s tax shield and its weighted average cost of capital (WACC) use the assumption that the underlying cash flows are perpetuities. Yet, most projects will have a finite useful life. Becaus...
We estimate the risk spillover among European banks from equity log-return data via Conditional Value at Risk (CoVaR). The joint dynamic of returns is modeled with a spatial DCC-GARCH which allows the conditional variance of log-returns of each bank...
The private pension is a system designed to maintain an income level during passive periods by utilizing the income earned during active working years. It complements the mandatory retirement systems of the public sector and is based on a voluntary p...
The recent pandemic has been identified as a driver of one of the most severe socio-economic crises over the last few decades. While some sectors have experienced an expansion, others have struggled with a changed business environment. The aim of thi...
Prior research has examined the relationship of religiosity to aspects of business risks, notably, the ethical environment in which business firms operate. Religiosity is connected to economic factors and societal factors. This study examines the rel...
In this paper, we take a city’s budget, which represents the resources that need to be allocated, and test how many blockchain users need to join a voting process of how the city’s resources should be allocated in order to best represent...
This study rolls out a robust framework relevant for simulation studies through the Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model using the rugarch package. The package is thoroughly investigated, and novel findings are iden...
This study investigates the properties of risk measure, value at risk (VaR) and conditional VaR (CVaR), using high-frequency Bitcoin data. These data allow us to conduct a high statistical analysis. Our findings reveal a disparity in VaR and CVaR val...
The current study investigates the impact of the liquidity coverage ratio (LCR) on the efficiency of Indian banks for the period 2010 to 2019. The study examines the effect of internal bank elements like ownership structure, transparency and disclosu...
This study employs a Monte Carlo simulation to see whether accounting identity problems are present in the Fazzari, Hubbard, and Petersen model (1988). The Monte Carlo simulation generates 50,000 random cash flows, Tobin’s Q, and error term var...
The current study explores the problem of illiquidity in the corporate bond market globally and proposes a solution to enhance liquidity by studying various dimensions of liquidity. Purpose: The purpose of this paper is to propose a solution to the g...
This paper proposes an optimal trading algorithm based on a novel application of conventional control engineering (CE). We consider a fundamental CE concept, namely, the feedback control, and apply it to algorithmic trading (AT). The concrete feedbac...
The intricate relationship between financial fraud and credit risk, and their combined impact on banking stability, is a vital and under-researched aspect of financial system integrity. To fill this knowledge gap, this study embarked on a thorough bi...
The study presents the economic, managerial, and societal perspectives on corporate social responsibility (CSR) as a basis for adding value to enterprises. It investigates the interplay between the digitalisation of activities and the management of B...
Management with high organization capital, which can be seen as an indicator of superior internal governance, can be expected to exhibit a preference for cash reserves to safeguard assets and mitigate the risk of underinvestment. However, external pa...
The usage of Large Language Models (LMMs) and their exponential progress has created a Cambrian Explosion in the development of new tools for almost every field of science and technology, but also presented significant concerns regarding the AI ethic...
During the last half century, the concept of shared ledger systems that offer a single source of truth has challenged traditional bookkeeping, leading to innovations such as the resource-event-agent (REA) accounting framework, triple-entry accounting...
Today most insurance is sold by over a million brokers and independent agents acting as intermediaries between the insurance companies and their customers. Digitalization and changing customer behavior have fostered the development of insurtech busin...
The global economy and the financial sector have suffered due to the COVID-19 epidemic. The banking industry has seen an increase in digital channels and payments, consumer behavior changes, regulatory and supervisory relief, and new operational resi...
The International Financial Reporting Standards (IFRS) do not make explicit provisions, in terms of a specifically dedicated standard, for the accounting treatment of cryptocurrencies. This creates uncertainty, and guidance is therefore required in t...
