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Journal of Risk and Financial Management, Volume 18, Issue 5

2025 May - 64 articles

Cover Story: This study examines the impact of the COVID-19 pandemic on market efficiency on stocks (the DAX, Nikkei 225, SSE, and Volatility Index) and cryptocurrencies (Bitcoin and Ethereum) by analyzing price returns, absolute returns, and volatility increments. The effects vary across asset classes. In stocks, the pandemic influenced the Hurst exponent of returns and absolute returns but not volatility increments (except in the SSE, where returns remained unchanged). In cryptocurrencies, while the Hurst exponent remained unaffected, multifractality in returns and absolute returns was impacted. Some Hurst exponent time series exhibited a gradual decline, complicating assessments of pandemic-related effects. Consequently, period-based segmentation may misrepresent the effects, highlighting the need for careful methodological approaches. View this paper
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Articles (64)

  • Article
  • Open Access
7 Citations
3,377 Views
22 Pages

Does Fiscal Decentralization Drive CO2 Emissions? A Quantile Regression Analysis

  • Wilman Gustavo Carrillo-Pulgar,
  • Juan Pablo Vallejo-Mata,
  • Katherine Gissel Tixi-Gallegos,
  • Patricio Alejandro Sánchez Cuesta and
  • Josué Romero-Alvarado

Achieving sustainable models is a crucial challenge today, where government actions play a fundamental role. Therefore, this study aims to analyze the impact of fiscal decentralization on CO2 emissions in 40 economies between 2000 and 2020. To this e...

(This article belongs to the Section Energy and Environment: Economics, Finance and Policy)
  • Article
  • Open Access
21 Citations
8,146 Views
20 Pages

Corporate Governance: Driving Climate Change Disclosure and Advancing SDGs

  • Indah Fajarini Sri Wahyuningrum,
  • Niswah Baroroh,
  • Heri Yanto,
  • Retnoningrum Hidayah and ,
  • Annisa Sila Puspita and
  • Laela Dwi Elviana
  • + 1 author+ 0 author

Climate change presents a critical challenge to achieving the 2030 Sustainable Development Goals (SDGs), particularly SDG 13 on Climate Action. This study examined the effect of corporate governance on carbon emission disclosure and carbon performanc...

(This article belongs to the Section Business and Entrepreneurship)
  • Article
  • Open Access
6 Citations
11,204 Views
20 Pages

Exploring New Aspects of Corporate Dividend Policy: Case of an Emerging Nation

  • Biswajit Ghose,
  • Pankaj Kumar Tyagi,
  • Parikshit Sharma,
  • Nivaj Gogoi and ,
  • Premendra Kumar Singh,
  • Yeshi Ngima,
  • Asokan Vasudevan and
  • Kiran Gope
  • + 3 authors+ 0 author

The present study focuses on how various firm characteristics influence their dividend payout policies. The study finds empirical evidence with regard to primarily two aspects of corporate dividend decisions—dividend increase and decrease, whos...

(This article belongs to the Section Financial Markets)
  • Article
  • Open Access
1 Citations
3,456 Views
26 Pages

This paper examines the characteristics of banks and their lending behavior in relation to Paycheck Protection Program (PPP) loans and commercial and industrial (C&I) loans to small businesses during the COVID-19 pandemic. Our findings show that...

(This article belongs to the Special Issue Contemporary Studies on Corporate Finance and Business Research)
  • Article
  • Open Access
2,768 Views
43 Pages

Bridging Asset Pricing and Market Microstructure: Option Valuation in Roll’s Framework

  • Davide Lauria,
  • W. Brent Lindquist,
  • Svetlozar T. Rachev and
  • Yuan Hu

We introduce a binary tree for pricing contingent claims when the underlying security prices exhibit history dependence. We apply the model to the specific cases of moving-average and autoregressive behavior that are characteristic of price histories...

(This article belongs to the Section Mathematics and Finance)
  • Article
  • Open Access
5 Citations
6,115 Views
19 Pages

Southeast Asian countries have come together to form the Association of Southeast Asian Nations (ASEAN), especially the formation of the ASEAN Economic Community (AEC) in 2015, which has united countries into an AEC economic bloc. The aims of the stu...

  • Systematic Review
  • Open Access
27 Citations
16,899 Views
30 Pages

Towards Fair AI: Mitigating Bias in Credit Decisions—A Systematic Literature Review

  • José Rômulo de Castro Vieira,
  • Flavio Barboza,
  • Daniel Cajueiro and
  • Herbert Kimura

The increasing adoption of artificial intelligence algorithms is redefining decision-making across various industries. In the financial sector, where automated credit granting has undergone profound changes, this transformation raises concerns about...

(This article belongs to the Section Risk)
  • Systematic Review
  • Open Access
7 Citations
14,011 Views
25 Pages

Volatility is a risk indicator for the stock market, and its measurement is important for investors’ decisions; however, few studies have investigated it. Only two systematic reviews focusing on volatility have been identified. In addition, wit...

(This article belongs to the Special Issue Machine Learning-Based Risk Management in Finance and Insurance)
  • Article
  • Open Access
13 Citations
8,000 Views
21 Pages

Nexus Between Fintech Innovations and Liquidity Risk in GCC Banks: The Moderating Role of Bank Size

  • Laith Alshouha,
  • Ohoud Khasawneh,
  • Fadi Alshannag and
  • Khalid Al Tanbour

Fintech is a modern phenomenon that is transforming the banking industry through innovations that streamline financial processes and improve efficiency. The increasing adoption of disruptive technologies prompts inquiries regarding their potential to...

(This article belongs to the Special Issue Market Liquidity, Fintech Innovation, and Risk Management Practices)
  • Article
  • Open Access
4 Citations
3,374 Views
19 Pages

This study evaluates the economic viability of the South Pasopati Coal Project in Indonesia, addressing market volatility, carbon pricing policies, and the country’s energy transition towards Net Zero Emissions (NZE). Given Indonesia’s re...

(This article belongs to the Special Issue Featured Papers in Climate Finance)
  • Article
  • Open Access
2 Citations
2,194 Views
20 Pages

The Student’s t-distribution provides a thematic connection between the historical and technical elements of this paper. The historical section offers a brief account of the early contributions of Chris Heyde and his collaborations with Madan a...

(This article belongs to the Special Issue Featured Papers in Finance and Society Wellbeing—in Honor of Professors Joe Gani and Chris Heyde)
  • Article
  • Open Access
3,438 Views
14 Pages

What drives corporate dividend policy remains an unsettled issue, largely due to data limitations, as many privately held firms do not need to disclose their financial reports publicly. We examine and compare the dividend policies of firms with three...

(This article belongs to the Section Business and Entrepreneurship)
  • Article
  • Open Access
6 Citations
6,826 Views
17 Pages

Energy Supply Shock on European Stock Markets: Evidence from the Russia–Ukraine War

  • Fabrizio Rossi,
  • Yinan Ni,
  • Antonio Salvi,
  • Yanfei Sun and
  • Richard J. Cebula

This study empirically investigates the impacts of the Russia–Ukraine war on the performance of brown and green stocks in Europe. Analyzing stocks listed on exchanges in 25 European countries, we find that, prior to this war, stocks of more ene...

(This article belongs to the Section Sustainability and Finance)

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J. Risk Financ. Manag. - ISSN 1911-8074