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JRFM
Special Issues
Risk Management and Return Predictability in Global Markets
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Risk Management and Return Predictability in Global 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: 1 June 2026 | Viewed by 19251

Special Issue Editors

Prof. Dr. C. Mitchell Conover

E-Mail Website
Guest Editor
Department of Finance, Robins School of Business, University of Richmond, Richmond, VA 23173, USA
Interests: investments; international finance
Dr. Gerhard Hambusch

E-Mail Website
Guest Editor
Finance Discipline Group, University of Technology Sydney, 15 Broadway, Ultimo, NSW, Australia
Interests: solutions to problems caused by unethical conduct in the finance industry, and the broader impact of human behaviour in capital market settings

Special Issue Information

Dear Colleagues,

The Journal of Risk and Financial Management (JRFM) extends an invitation for submissions to a forthcoming Special Issue dedicated to the exploration of global stock return patterns and risk management strategies in investments. This Special Issue aims to dissect the complexities associated with global security returns and to scrutinize various hedging strategies employed by investors worldwide. This topic is pivotal for academics, investors, and researchers interested in the intricacies of global financial markets and their implications on portfolio performance. We encourage submissions that not only address but also challenge existing paradigms and propose new methodologies or theoretical frameworks.

Prof. Dr. C. Mitchell Conover
Dr. Gerhard Hambusch
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 250 words) can be sent to the Editorial Office for assessment.

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 1600 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

  • return patterns
  • market anomalies
  • global stock returns
  • diversification
  • hedging strategies
  • risk management
  • financial markets
  • portfolio optimization
  • and policy and global markets

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Further information on MDPI's Special Issue policies can be found here.

Published Papers (2 papers)

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Research

28 pages, 890 KB  
Article
How Overlapping Returns Inflate Measured Time Series Momentum
by Keunbae Ahn, Gerhard Hambusch and KiHoon Jimmy Hong
J. Risk Financial Manag. 2026, 19(1), 46; https://doi.org/10.3390/jrfm19010046 - 7 Jan 2026
Viewed by 967
Abstract
This study investigates the measurement bias introduced by the widespread use of overlapping returns in time series momentum (TSM) research, which can materially overstate the strength of TSM signals. Using a univariate AR(1) framework, simulations, and S&P 500 and S&P/ASX 200 index data [...] Read more.
This study investigates the measurement bias introduced by the widespread use of overlapping returns in time series momentum (TSM) research, which can materially overstate the strength of TSM signals. Using a univariate AR(1) framework, simulations, and S&P 500 and S&P/ASX 200 index data from 1996 to 2019, we link TSM strength to return autocorrelation, volatility and the look-back horizon under both overlapping and non-overlapping return constructions. The analysis shows that overlapping returns mechanically accumulate autocorrelation, generating the familiar monotonic increase in measured TSM strength as the look-back period lengthens. Empirically, we find that return autocorrelation is the dominant driver of measured TSM strength and that the monotonic look-back profile becomes weaker and less systematic when non-overlapping returns are used. The AR(1) framework predicts a negative relation between volatility and TSM strength, and we observe this sign in both markets, but the estimated effects are not statistically significant at conventional levels. These results highlight the risk that overlapping returns artificially inflate momentum signals, with implications for backtesting robustness and portfolio risk management. Full article
(This article belongs to the Special Issue Risk Management and Return Predictability in Global Markets)
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21 pages, 14050 KB  
Article
Bitcoin vs. the US Dollar: Unveiling Resilience Through Wavelet Analysis of Price Dynamics
by Essa Al-Mansouri
J. Risk Financial Manag. 2025, 18(5), 259; https://doi.org/10.3390/jrfm18050259 - 9 May 2025
Cited by 2 | Viewed by 17494
Abstract
This paper investigates Bitcoin’s resilience against the U.S. dollar—widely recognized as the global reserve currency—by applying a multi-method wavelet analysis framework to daily price data of Bitcoin, the USD strength index (DXY), the euro, and other assets ranging from August 2015 to June [...] Read more.
This paper investigates Bitcoin’s resilience against the U.S. dollar—widely recognized as the global reserve currency—by applying a multi-method wavelet analysis framework to daily price data of Bitcoin, the USD strength index (DXY), the euro, and other assets ranging from August 2015 to June 2024. Quantitative measures—particularly the Frobenius norm of wavelet coherence and an exponential decay phase-weighting scheme—reveal that Bitcoin’s out-of-phase relationship with the dollar is lower and more sporadic than that of mainstream assets, indicating it is not tightly governed by dollar fluctuations. Even after controlling for the euro’s dominant influence in the DXY, BTC continues to show weaker coupling than mainstream assets—reinforcing the idea that it may serve as a partial hedge against dollar-driven volatility. These results support the hypothesis that Bitcoin may serve as a resilient store of value and hedge against dollar-driven market volatility, placing Bitcoin within the broader debate on global monetary frameworks. As global monetary conditions evolve, the resilience of Bitcoin (BTC) relative to the world’s leading reserve currency—the U.S. dollar—has significant implications for both investors and policymakers. Full article
(This article belongs to the Special Issue Risk Management and Return Predictability in Global Markets)
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