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Volume 5
Issue 1
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Journal of Risk and Financial Management is published by MDPI from Volume 6 Issue 1 (2013). Previous articles were published by another publisher in Open Access under a CC-BY (or CC-BY-NC-ND) licence, and they are hosted by MDPI on mdpi.com as a courtesy and upon agreement with Prof. Dr. Raymond A. K. Cox and Prof. Dr. Alan Wong.

J. Risk Financial Manag., Volume 5, Issue 1 (December 2012) – 5 articles , Pages 1-130

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16 pages, 518 KiB  
Article
Technical Efficiency and Port Competition: Revisiting the Bohai Economic Rim, China
by Grace Wang and Chen Gao
J. Risk Financial Manag. 2012, 5(1), 115-130; https://doi.org/10.3390/jrfm5010115 - 31 Dec 2012
Cited by 3 | Viewed by 5502
Abstract
The Bohai Economic Rim plays an important role in supporting China’s economic growth. For this research, we selected nine main ports in the region to study whether intra-port competition or corporatization would improve efficiency. Using a panel fixed effect model and stochastic frontier [...] Read more.
The Bohai Economic Rim plays an important role in supporting China’s economic growth. For this research, we selected nine main ports in the region to study whether intra-port competition or corporatization would improve efficiency. Using a panel fixed effect model and stochastic frontier model, we found that the technical efficiency of selected ports is significantly influenced by the time of the initial public offering than by regional competition. The results are supportive and encouraging for policy makers to move toward the decentralized port governance in China. Full article
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37 pages, 275 KiB  
Article
Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen, Chia-Lin Chang, Chi-Chung Chen and Michael McAleer
J. Risk Financial Manag. 2012, 5(1), 78-114; https://doi.org/10.3390/jrfm5010078 - 31 Dec 2012
Cited by 12 | Viewed by 5514
Abstract
The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR [...] Read more.
The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global fertilizer prices. The empirical results from ARDL show that most fertilizer prices are significantly affected by the crude oil price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods. Full article
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19 pages, 170 KiB  
Article
The Behaviour of Small Investors in the Hong Kong Derivatives Markets: A Factor Analysis
by Tai-Yuen Hon
J. Risk Financial Manag. 2012, 5(1), 59-77; https://doi.org/10.3390/jrfm5010059 - 31 Dec 2012
Cited by 4 | Viewed by 7253
Abstract
This paper investigates the behaviour of small investors in Hong Kong’s derivatives markets. The study period covers the global economic crisis of 2011- 2012, and we focus on small investors’ behaviour during and after the crisis. We attempt to identify and analyse the [...] Read more.
This paper investigates the behaviour of small investors in Hong Kong’s derivatives markets. The study period covers the global economic crisis of 2011- 2012, and we focus on small investors’ behaviour during and after the crisis. We attempt to identify and analyse the key factors that capture their behaviour in derivatives markets in Hong Kong. The data were collected from 524 respondents via a questionnaire survey. Exploratory factor analysis was employed to analyse the data, and some interesting findings were obtained. Our study enhances our understanding of behavioural finance in the setting of an Asian financial centre, namely Hong Kong. Full article
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39 pages, 716 KiB  
Article
Stock Returns and Risk: Evidence from Quantile
by Thomas C. Chiang and Jiandong Li
J. Risk Financial Manag. 2012, 5(1), 20-58; https://doi.org/10.3390/jrfm5010020 - 31 Dec 2012
Cited by 30 | Viewed by 8073
Abstract
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected [...] Read more.
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The evidence also suggests that intraday skewness plays a dominant role in explaining the variations of excess returns. Full article
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19 pages, 224 KiB  
Article
A General Empirical Model of Hedging
by Moawia Alghalith and Ricardo Lalloob
J. Risk Financial Manag. 2012, 5(1), 1-19; https://doi.org/10.3390/jrfm5010001 - 31 Dec 2012
Cited by 3 | Viewed by 4271
Abstract
In this paper, we treat output as a decision variable. Moreover, we employ a general form of basis risk. Furthermore, we relax the statistical-independence assumption between the spot price and basis risk. Full article
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