2019 December - 16 articles
We investigate the impact of extreme weather conditions on the stock market returns of the Hong Kong Stock Exchange and Shenzhen Exchange. For the weather conditions, we apply dummy variables generated by applying a moving average and moving standard...
As the importance of Chinese financial schemes in maritime business increases, and many issues on the ownership of the assets under the current Law remain obscured for international investors, this work argues that a streamlining to international pra...
This paper studies option pricing based on a reverse engineering (RE) approach. We utilize artificial intelligence in order to numerically compute the prices of options. The data consist of more than 5000 call- and put-options from the German stock m...
This study examines herding behavior in four sectors of the Gulf Islamic stock markets. Based on the methodology of Chiang and Zheng (2010), results showed evidence of herding among investors in major sectors for the Gulf Cooperation Council (hereina...
This paper develops methods and a framework of financial market theory. We model financial markets as a system of agents which perform market transactions with other agents under the action of numerous expectations. Agents’ expectations are for...
Selecting funds is a common problem for investors who use published available data on fund indicators while they are selecting the funds. Since this process deals with more than one indicator, the investing issue becomes multi-criteria decision-makin...
This study establishes a dynamic panel model for 12 Chinese-listed commercial banks and seven international commercial banks. More specifically, it examines the impact of green credit on the profitability of commercial banks and the differences betwe...
Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level...
The aim of this paper was to examine the relationship between changes in the US and China macroeconomic conditions and the excess returns of nine Asian-Pacific public real estate markets (Singapore, Indonesia, Malaysia, the Philippines, Thailand, Aus...
This paper examines the nexus between financial inclusion and financial innovation while incorporating financial development and remittance inflows in the case of six South Asian countries—Bangladesh, India, Pakistan, Nepal, Bhutan, and Srilank...
This study investigates the impact of corporate governance characteristics and political connections of directors on the profitability of banks in Pakistan. The study uses the data of 26 domestic banks over the latest and large period of 2007–2...
This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes t...
The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month a...
In this paper, which is the third installment of the author’s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin...
In this study, we analyze the forecast accuracy and profitability of buy recommendations published in five major German financial magazines for private households based on fundamental analysis. The results show a high average forecast accuracy but wi...
The purpose of this study is to investigate the relationship of firms with family ownership and their performance in Indonesia and further examine on how political connections affect this relationship. This study used 933 samples from 413 companies l...
