2021 June - 16 articles
The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under cer...
The business environment of today is complex and dynamic due to increasing global competition. The businessman needs to master and know all the information that has strategic value, and Competitive Intelligence is positioned as the most appropriate t...
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this...
In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence betw...
We investigated the differential impacts of a new Twitter-based Market Uncertainty index (TMU) and variables for Bitcoin before and during the COVID-19 pandemic. Results showed that TMU is a leading indicator of Bitcoin returns only during the pandem...
The management of cash requires careful considerations to allow firms to benefit from proper resource allocations while mitigating agency issues. Accounting comparability can play an important role in tackling information asymmetry and agency cost, t...
With this study, we aimed to determine (1) the effect of the daily new cases and deaths due to the COVID-19 pandemic in the United States on the CBOE volatility index (VIX index) and (2) the effect of the VIX index on the major stock markets during t...
Audit reports represent the only information stakeholders have about conducted audits and they are a key instrument used in economic and financial decisions. Improving audit reports should be a priority of regulators and auditors. The authors solicit...
The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period...
This study extracts the common factors from firm-based credit spreads of major Japanese corporate bonds and examines the predictive content of the credit spread on the real economy. Instead of employing single-maturity corporate bond spreads, we focu...
The aim of this study is to examine the effect of short-selling deregulation on the financial performance of SMEs in China. The external governance role of short-selling is also tested by adopting corporate social responsibility (CSR) performance as...
Using a new panel cointegration test that considers serial correlation and cross-section dependence on a mixed and heterogenous sample of Saudi banks, we revisit the cointegrating equation of the z-score index of banking stability. Our results show t...
This study aims to explore the investment behavior of female entrepreneurs as the new competitor in the investment field and to determine the underlying factors that influence their investment attitudes. A qualitative investigation approach was emplo...
Studies on the characteristics of insolvent firms’ earnings management are critical, as the ripple effects of a firm’s opportunistic accounting and insolvency on society can be widespread and significant. This study divides a dataset of unlisted firm...
It is well known that intraday returns tend to reverse the following intraday period, conditional on excess buying pressure on the bid or ask side. This suggests that liquidity providers “overreact” to order imbalance (OIB) by initially altering quot...
During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging...
