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Advances in Macroeconomics and Financial Markets
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Advances in Macroeconomics and Financial Markets

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: 31 August 2025 | Viewed by 16905

Special Issue Editors

Dr. Zhenhua Liu

E-Mail Website
Guest Editor
School of Economics and Management, China University of Mining and Technology, Xuzhou 221116, China
Interests: energy finance; energy economics; climate finance
Special Issues, Collections and Topics in MDPI journals
Dr. Zihuang Huang

E-Mail Website
Guest Editor
School of Economics and Management, China University of Mining and Technology, Xuzhou 221116, China
Interests: financial engineering; fintech; big data; stock market; futures market
Dr. Kaifeng Li

E-Mail Website
Guest Editor
School of Economics and Management, China University of Mining and Technology, Xuzhou 221116, China
Interests: macroeconomics; asset pricing; risk management; corporate finance
Dr. Xinhui Yang

E-Mail Website
Guest Editor
School of Economics and Management, China University of Mining and Technology, Xuzhou 221116, China
Interests: stock market; agent-based model

Special Issue Information

Dear Colleagues,

The primary focus of this Special Issue, “Advances in Macroeconomics and Financial Markets”, in the Journal of Risk and Financial Management (JFRM) is on theoretical and empirical studies that will add to the growing literature on macroeconomics and financial markets. The aim of this Special Issue is to contribute to the advances in the theoretical and empirical understanding of macroeconomics and financial markets, and provide suggestions with practical significance for related stakeholders, policy makers and the public.

We welcome papers from across all of the major fields of macroeconomics research and financial market research, placing emphasis on high-quality analytical, theoretical and empirical contributions in the following major areas: economic growth, economic fluctuations, the effects of monetary and fiscal policies, the macroeconomics of income inequality, macroeconomic forecasting, policy uncertainty, climate finance, energy finance, securities trading and pricing, trading mechanisms, order placement strategies, financial intermediation, and trading behaviors.

Dr. Zhenhua Liu
Dr. Zihuang Huang
Dr. Kaifeng Li
Dr. Xinhui Yang
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • asset pricing
  • corporate finance
  • financial engineering
  • financial markets
  • fintech
  • macroeconomics
  • risk management
  • uncertainties

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Published Papers (7 papers)

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Research

34 pages, 927 KiB  
Article
The Impact of Sentiment on Realized Higher-Order Moments in the S&P 500: Evidence from the Fear and Greed Index
by Richard Mawulawoe Ahadzie, Peterson Owusu Junior and John Kingsley Woode
J. Risk Financial Manag. 2025, 18(1), 2; https://doi.org/10.3390/jrfm18010002 - 25 Dec 2024
Cited by 1 | Viewed by 2595
Abstract
This study empirically investigates the relationship between realized higher-order moments and the Fear and Greed Index as a measure of sentiments. We estimate daily realized moments using 5 min return data of the S&P 500 index from 3 January 2011 to 18 September [...] Read more.
This study empirically investigates the relationship between realized higher-order moments and the Fear and Greed Index as a measure of sentiments. We estimate daily realized moments using 5 min return data of the S&P 500 index from 3 January 2011 to 18 September 2020. We find that the Fear and Greed Index significantly impacts realized volatility during periods of extreme fear. Additionally, various sentiment indicators influence realized skewness and realized kurtosis. The VIX index significantly reduces realized skewness across all sentiment levels. Bearish and bullish sentiments have a significant negative relationship with negative realized skewness during periods of extreme fear and extreme greed. However, the Fear and Greed Index and bearish and bullish sentiments have a significant positive relationship with positive realized skewness. During extreme fear, the Fear and Greed Index and bearish and bullish sentiments have a significant negative relationship with realized kurtosis. These results remain consistent when considering the non-linear characteristics of the Fear and Greed Index during periods of extreme fear and extreme greed. These findings highlight the relevance of understanding sentiment in financial risk management and its significant relationship with the asymmetric and extremity characteristics of asset returns. Full article
(This article belongs to the Special Issue Advances in Macroeconomics and Financial Markets)
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13 pages, 252 KiB  
Article
Dynamics of Dividend Payout in Korean Corporations: A Comprehensive Panel Analysis Across Economic Cycles
by SungSup Brian Choi and Kudzai Sauka
J. Risk Financial Manag. 2024, 17(12), 564; https://doi.org/10.3390/jrfm17120564 - 17 Dec 2024
Cited by 1 | Viewed by 932
Abstract
This research conducts a meticulous examination of the determinants influencing dividend payout dynamics among firms listed on the Korean Stock Exchange (KSE) from 1995 to 2021, a period characterized by profound economic fluctuations. By leveraging a dynamic panel data model and the Generalized [...] Read more.
This research conducts a meticulous examination of the determinants influencing dividend payout dynamics among firms listed on the Korean Stock Exchange (KSE) from 1995 to 2021, a period characterized by profound economic fluctuations. By leveraging a dynamic panel data model and the Generalized Method of Moments (GMM) for estimation, the study addresses endogeneity concerns while exploring the effects of firm-specific and macroeconomic variables on dividend yields. The investigation delineates three distinct economic phases: normal conditions, financial crises, and the aggregate study period, facilitating a granular understanding of firms’ dividend payout adaptability under varying economic landscapes. Empirical findings underscore the persistence of dividend payments, revealing a variable adjustment speed toward target dividend yields contingent upon the economic context, with an expedited adjustment observed during crises. Crucially, firm profitability emerges as a consistent determinant of dividend yields across all examined periods, whereas the influence of macroeconomic variables is notably more pronounced during periods of economic normalcy. This research elucidates the complex interplay between internal corporate strategies and external economic pressures in shaping dividend policies, thereby enriching the discourse on dividend payout behavior in the context of Korea’s economic evolution from an emerging to a developed market. Full article
(This article belongs to the Special Issue Advances in Macroeconomics and Financial Markets)
18 pages, 320 KiB  
Article
Evaluation of the Resilience of Real Estate and Property Stocks to Inflation and Interest Rate Uncertainty: Implementation of Two Asset Pricing Models
by Nurdina Nurdina, Nurkholis Nurkholis, Noval Adib and Sari Atmini
J. Risk Financial Manag. 2024, 17(12), 530; https://doi.org/10.3390/jrfm17120530 - 22 Nov 2024
Viewed by 1279
Abstract
Property stocks are an attractive alternative investment for investors who want passive income. Investors’ decisions focus not only on maximizing returns but also on reducing risk. This study examines the extent to which macroeconomic factors affect stock performance by comparing the effectiveness of [...] Read more.
Property stocks are an attractive alternative investment for investors who want passive income. Investors’ decisions focus not only on maximizing returns but also on reducing risk. This study examines the extent to which macroeconomic factors affect stock performance by comparing the effectiveness of the Fama–French five-factor model (5FF) and Fama–French seven-factor model (7FF) in estimating returns. This study also verifies Fisher’s theory in the context of property and real estate stocks. The research data used are property and real estate stocks in the Indonesian capital market. The data are processed using the OLS estimation method, and Akaike’s Information Criterion (AIC) is used to choose the optimal model. The results show that property and real estate stocks in Indonesia with negative profitability at all quantiles can hedge inflation and interest rates. However, the interest rates are not the only factor affecting the market risk. The 7FF model is better at explaining the variability of stock portfolio returns. This research makes an essential contribution to the financial literature in Indonesia, particularly in the context of portfolio management in the property and real estate sector. Full article
(This article belongs to the Special Issue Advances in Macroeconomics and Financial Markets)
20 pages, 1522 KiB  
Article
Forecasting Foreign Direct Investment Inflow to Bangladesh: Using an Autoregressive Integrated Moving Average and a Machine Learning-Based Random Forest Approach
by Md. Monirul Islam, Arifa Jannat, Kentaka Aruga and Md Mamunur Rashid
J. Risk Financial Manag. 2024, 17(10), 451; https://doi.org/10.3390/jrfm17100451 - 5 Oct 2024
Viewed by 2886
Abstract
This study focuses on the challenge of accurately forecasting foreign direct investment (FDI) inflows to Bangladesh, which are crucial for the country’s sustainable economic growth. Although Bangladesh has strong potential as an investment destination, recent FDI inflows have sharply declined due to global [...] Read more.
This study focuses on the challenge of accurately forecasting foreign direct investment (FDI) inflows to Bangladesh, which are crucial for the country’s sustainable economic growth. Although Bangladesh has strong potential as an investment destination, recent FDI inflows have sharply declined due to global economic uncertainties and the impact of the COVID-19 pandemic. There is a clear gap in applying advanced forecasting models, particularly the autoregressive integrated moving average (ARIMA) model and machine learning techniques like random forest (RF), to predict FDI inflows in Bangladesh. This study aims to analyze and forecast FDI inflows in Bangladesh by employing a hybrid approach that integrates the ARIMA model and the RF algorithm. This study covers the period from 1986 to 2022. The analysis reveals that net FDI inflow in Bangladesh is integrated into the first order, and the ARIMA (3,1,2) model is identified as the most suitable based on the Akaike Information Criterion (AIC). Diagnostic tests confirm its consistency and appropriateness for forecasting net FDI inflows in the country. This study’s findings indicate a decreasing trend in net FDI inflows over the forecasted period, with an average of USD 1664 million, similar to recent values. The results from the RF model also support these findings, projecting average net FDI values of USD 1588.99 million. To achieve the aims of Vision 2041, which include eradicating extreme poverty and becoming a high-economic nation, an increasing trend of FDI inflow is crucial. The current forecasting trends provide insights into the potential trajectory of FDI inflows in Bangladesh, highlighting the importance of attracting higher FDI to accomplish their economic goals. Additionally, strengthening bilateral investment agreements and leveraging technology transfer through FDI will also be essential for fostering sustainable economic growth. Full article
(This article belongs to the Special Issue Advances in Macroeconomics and Financial Markets)
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17 pages, 283 KiB  
Article
Does Investors’ Online Public Opinion Divergence Increase the Trading Volume? Evidence from the CSI 300 Index Constituents
by Zihuang Huang, Qing Xu and Xinyu Wang
J. Risk Financial Manag. 2024, 17(8), 316; https://doi.org/10.3390/jrfm17080316 - 24 Jul 2024
Cited by 1 | Viewed by 1016
Abstract
We collected online public opinions on the CSI 300 index constituents and investigated the different impacts of online public opinion divergence on trading volume. Here, we find that online public opinions are helpful in improving the trading volume, but the online public opinion [...] Read more.
We collected online public opinions on the CSI 300 index constituents and investigated the different impacts of online public opinion divergence on trading volume. Here, we find that online public opinions are helpful in improving the trading volume, but the online public opinion divergence of investors reduces the expected trading volume. In particular, non-financial and mid-cap stocks with high levels of discussion are more significantly influenced by online public opinion divergence. Through the classification of investors’ influence levels, we find that the divergence among high-level investors increases the trading volume, while the divergence among low-level investors exacerbates the decrease in trading volume. A reduction in divergence for both levels will have a greater impact. We believe that attention should be paid to regulating and guiding the online public opinions of “newcomers”. This will not only improve the quality of Guba but also contribute to the steady development of the Chinese stock market. Full article
(This article belongs to the Special Issue Advances in Macroeconomics and Financial Markets)
20 pages, 959 KiB  
Article
The Impact of CSI SEEE Carbon Neutral Index Launched on Order Aggressiveness
by Zihuang Huang, Xiaoyu Zhang and Kaifeng Li
J. Risk Financial Manag. 2024, 17(5), 198; https://doi.org/10.3390/jrfm17050198 - 11 May 2024
Viewed by 1613
Abstract
In the context of carbon peaking and carbon neutrality goals, in order to clarify the investment direction for investors, China Securities Index Co., Ltd. (CSI) has collaborated with the Shanghai Environmental Energy Exchange to develop the CSI SEEE Carbon Neutral Index (CSCNI), which [...] Read more.
In the context of carbon peaking and carbon neutrality goals, in order to clarify the investment direction for investors, China Securities Index Co., Ltd. (CSI) has collaborated with the Shanghai Environmental Energy Exchange to develop the CSI SEEE Carbon Neutral Index (CSCNI), which has also played a leading role in the subsequent preparation of the Green Finance Index. The launch of this index has sparked research interest among scholars in stimulating investor order aggressiveness. This study employs event study methodology to examine the impact of the CSCNI launch on order aggressiveness. The sample companies are categorized into two groups: deep low-carbon and high-carbon reduction, with a focus on studying buy and sale order aggressiveness. The results indicate that the launch of CSCNI has mobilized order aggressiveness but has led to a negative stock price effect as investors anticipate an increase in environmental costs for the sample companies. Furthermore, we reveal that the long-term growth potential of the deep low-carbon field is more promising compared to the high-carbon reduction sector, making stocks in the deep low-carbon field more attractive. The launch of CSCNI has shown contrasting effects on the buy and sale order aggressiveness of investors, with the impact of the index announcement being more significant on the sample companies. This research provides valuable insights for evaluating the impact of green finance indices and contributes to the understanding of internal mechanisms. It provides an important reference for financial regulators to evaluate the development of the current green index. At the same time, it expands the domestic research on order aggressiveness, which studies the action mechanism of the stock price effect of the green stock index from the perspective of order aggressiveness. Full article
(This article belongs to the Special Issue Advances in Macroeconomics and Financial Markets)
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19 pages, 1320 KiB  
Article
Macroeconomic Shocks and Economic Performance in Malaysia: A Sectoral Analysis
by Willem Thorbecke
J. Risk Financial Manag. 2024, 17(3), 116; https://doi.org/10.3390/jrfm17030116 - 12 Mar 2024
Viewed by 5104
Abstract
Many shocks, including COVID-19, wars, inflation, contractionary U.S. monetary policy, and oil price hikes, have recently buffeted the world economy. The literature has reported mixed results concerning how these shocks impact Malaysian stock returns. Some studies found that U.S. monetary policy mattered for [...] Read more.
Many shocks, including COVID-19, wars, inflation, contractionary U.S. monetary policy, and oil price hikes, have recently buffeted the world economy. The literature has reported mixed results concerning how these shocks impact Malaysian stock returns. Some studies found that U.S. monetary policy mattered for Malaysia, while others reported that it did not. This paper, employing two U.S. monetary policy measures over the 2001–2019 period, finds that U.S. policy matters little for Malaysian equities. Some studies found that oil price hikes increased Malaysian stock returns while others reported that they did not. This paper, employing updated data, reports that oil price increases, driven by both world demand shocks and oil supply shocks, raise Malaysian stock returns. The paper also compares the performance of Malaysian equities since the pandemic began, with returns forecasted based on macroeconomic variables. The period since the pandemic started has been labeled the megacrisis era. Interconnected crises, including the pandemic, wars, rising commodity prices, and climate events, all overlapped. The results indicate that industrial metals and banks have performed well since the pandemic began. Food producers, healthcare providers, medical equipment suppliers, tourist-related companies, and semiconductor firms have suffered. This paper considers several steps that could help these sectors to recover. Full article
(This article belongs to the Special Issue Advances in Macroeconomics and Financial Markets)
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