Risk Analysis in Financial Crisis and Stock Market

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: closed (31 October 2024) | Viewed by 9468

Special Issue Editor


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Guest Editor
Faculty of Economic Studies, Ovidius University of Constanta, Aleea Universitatii No. 1, 900470 Constanta, Romania
Interests: statistical analysis; data analysis; statistics; econometrics

Special Issue Information

Dear Colleagues,

This Special Issue encourages researchers, academics, and professionals to contribute to state-of-the-art knowledge on the theoretical or empirical analysis of risks associated with financial crises and stock markets.

Understanding, managing, or mitigating risks across different enterprises or levels of society is increasingly important for making informed decisions and contributes to the stability and resilience of financial systems.

The aim of this Special Issue is to transform the recent financial, social, and environmental crises of recent years into lessons learned and to improve knowledge, mechanisms, or risk management methods for sustainable development.

We encourage authors to submit their manuscripts related, but not limited, to the following topics:

  • risk analysis;
  • financial risk;
  • financial crisis;
  • stock market;
  • company risk;
  • blockchain, innovative technology, and cryptocurrency;
  • value at risk (VaR);
  • country risk.

Prof. Dr. Kamer-Ainur Aivaz
Guest Editor

Manuscript Submission Information

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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. Risks 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 1800 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

  • financial risk
  • financial crisis
  • stock market

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Published Papers (5 papers)

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Research

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26 pages, 1557 KiB  
Article
Trading Activity in the Corporate Bond Market: A SAD Tale of Macro-Announcements and Behavioral Seasonality?
by James J. Forest, Ben S. Branch and Brian T. Berry
Risks 2024, 12(5), 80; https://doi.org/10.3390/risks12050080 - 14 May 2024
Viewed by 1612
Abstract
This study investigates the determinants of trading activity in the U.S. corporate bond market, focusing on the effects of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets) Autometrics methodology, we identify distinct behavioral responses between retail and institutional investors to [...] Read more.
This study investigates the determinants of trading activity in the U.S. corporate bond market, focusing on the effects of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets) Autometrics methodology, we identify distinct behavioral responses between retail and institutional investors to SAD, noting a significant impact on retail trading volumes but not on institutional trading or bond returns. This discovery extends the understanding of behavioral finance within the context of bond markets, diverging from established findings in equity and Treasury markets. Additionally, our analysis delineates the influence of macroeconomic announcements on trading activities, offering new insights into the market’s reaction to economic news. This study’s findings contribute to the broader literature on market microstructure and behavioral finance, providing empirical evidence on the interplay between psychological factors and macroeconomic information flow within corporate bond markets. By addressing these specific aspects with rigorous econometric techniques, our research enhances the comprehension of trading dynamics in less transparent markets, offering valuable perspectives for academics, investors, risk managers, and policymakers. Full article
(This article belongs to the Special Issue Risk Analysis in Financial Crisis and Stock Market)
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21 pages, 6920 KiB  
Article
Optimising Portfolio Risk by Involving Crypto Assets in a Volatile Macroeconomic Environment
by Attila Bányai, Tibor Tatay, Gergő Thalmeiner and László Pataki
Risks 2024, 12(4), 68; https://doi.org/10.3390/risks12040068 - 17 Apr 2024
Cited by 1 | Viewed by 1908
Abstract
Portfolio diversification is an accepted principle of risk management. When constructing an efficient portfolio, there are a number of asset classes to choose from. Financial innovation is expanding the range of instruments. In addition to traditional commodities and securities, other instruments have been [...] Read more.
Portfolio diversification is an accepted principle of risk management. When constructing an efficient portfolio, there are a number of asset classes to choose from. Financial innovation is expanding the range of instruments. In addition to traditional commodities and securities, other instruments have been added. These include cryptocurrencies. In our study, we seek to answer the question of what proportion of cryptocurrencies should be included alongside traditional instruments to optimise portfolio risk. We use VaR risk measures to optimise the process. Diversification opportunities are evaluated under normal return distributions, thick-tailed distributions, and asymmetric distributions. To answer our research questions, we have created a quantitative model in which we analysed the VaR of different portfolios, including crypto-diversified assets, using Monte Carlo simulations. The study database includes exchange rate data for two consecutive years. When selecting the periods under examination, it was important to compare favourable and less favourable periods from a macroeconomic point of view so that the study results can be interpreted as a stress test in addition to observing the diversification effect. The first period under examination is from 1 September 2020 to 31 August 2021, and the second from 1 September 2021 to 31 August 2022. Our research results ultimately confirm that including cryptoassets can reduce the risk of an investment portfolio. The two time periods examined in the simulation produced very different results. An analysis of the second period suggests that Bitcoin’s diversification ability has become significant in the unfolding market situation due to the Russian-Ukrainian war. Full article
(This article belongs to the Special Issue Risk Analysis in Financial Crisis and Stock Market)
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24 pages, 1773 KiB  
Article
Exploring Systemic Risk Dynamics in the Chinese Stock Market: A Network Analysis with Risk Transmission Index
by Xiaowei Zeng, Yifan Hu, Chengjun Pan and Yanxi Hou
Risks 2024, 12(3), 56; https://doi.org/10.3390/risks12030056 - 20 Mar 2024
Viewed by 1604
Abstract
Systemic risk refers to the potential for a disruption in one part of a financial system to trigger a cascade of adverse effects, impacting the functioning of the system. Despite the progress on novel systemic risk measures, research on dynamics of systemic risk [...] Read more.
Systemic risk refers to the potential for a disruption in one part of a financial system to trigger a cascade of adverse effects, impacting the functioning of the system. Despite the progress on novel systemic risk measures, research on dynamics of systemic risk network structure and its community effect is still in its initial state. In this study, we utilize price data from 107 representative Chinese stocks spanning the period from 2017 to 2022. A systemic risk network is derived from the Risk Transmission Index based on TENET and the QR–Lasso model. By utilizing DBSCAN, HITS and community detection algorithms on the network, we aim to propose a more suitable definition of systemically important companies, explore the interrelationships between companies, and discuss its plausible reasons for dynamics structural changes. The empirical findings demonstrate a substantial involvement of insurance companies in both contributing to and receiving systemic risk within the analyzed context. We identify prominent risk output and input centers, and emphasize the profound impact of the COVID-19 pandemic on the dynamics of systemic risk. Full article
(This article belongs to the Special Issue Risk Analysis in Financial Crisis and Stock Market)
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35 pages, 669 KiB  
Article
Capital Structure Models and Contingent Convertible Securities
by Di Meng, Adam Metzler and R. Mark Reesor
Risks 2024, 12(3), 55; https://doi.org/10.3390/risks12030055 - 18 Mar 2024
Viewed by 1788
Abstract
We implemented a methodology to calibrate capital structure models for banks that have issued contingent convertible securities (CoCos). Typical studies involving capital structure model calibration focus on non-financial firms as they have lower leverage and no contingent convertible securities. From a theoretical perspective, [...] Read more.
We implemented a methodology to calibrate capital structure models for banks that have issued contingent convertible securities (CoCos). Typical studies involving capital structure model calibration focus on non-financial firms as they have lower leverage and no contingent convertible securities. From a theoretical perspective, we found that jumps in the asset value process were necessary to obtain a satisfactory fit to the market data. In practice, contingent capital conversion triggers are discretionary, and there is considerable uncertainty around when regulators are likely to enforce conversion. The market-implied conversion triggers we obtain indicate that the market expects regulators to enforce conversion while the issuing bank is a going concern, as opposed to a gone concern. This fact is presumably of interest to potential dealers, regulators, issuers, and investors. Full article
(This article belongs to the Special Issue Risk Analysis in Financial Crisis and Stock Market)
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Review

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21 pages, 2473 KiB  
Review
Economic Fraud and Associated Risks: An Integrated Bibliometric Analysis Approach
by Kamer-Ainur Aivaz, Iulia Oana Florea and Ionela Munteanu
Risks 2024, 12(5), 74; https://doi.org/10.3390/risks12050074 - 30 Apr 2024
Cited by 3 | Viewed by 1856
Abstract
This study offers a comprehensive insight into the realms of economic fraud and risk management, underscoring the necessity of adaptability to evolving technologies and shifts in financial market dynamics. Through the application of bibliometric methodologies, this study meticulously maps the relevant literature, delineating [...] Read more.
This study offers a comprehensive insight into the realms of economic fraud and risk management, underscoring the necessity of adaptability to evolving technologies and shifts in financial market dynamics. Through the application of bibliometric methodologies, this study meticulously maps the relevant literature, delineating influential works, notable authors, collaborative networks, and emerging trends. It reviews key research contributions within the field, alongside reputable journals and institutions engaged in academic research. The examination highlights the logical, conceptual, and social interconnections that define the landscape of economic fraud and associated risks, elucidating how these findings inform the understanding, mitigating, and combating of the risk of fraud. Our bibliometric analysis methodology is grounded in the utilization of the Scopus database, employing rigorous filtering and extraction processes to obtain a substantial corpus of pertinent articles. Through a fusion of performance analysis and science mapping, our investigation elucidates central themes and visually represents the interrelationships between studies. Our research outcomes underscore the frequency of paper publications across diverse regions, with particular emphasis on the predominant scientific output from the US and China. Additionally, trends in academic citations are identified, indicative of the significant impact of papers on academic research and the formulation of public policies. By means of bibliometric analysis, this study not only consolidates existing knowledge but also catalyzes the exploration of future research trajectories, emphasizing the imperative of addressing these issues with heightened scientific rigor. Full article
(This article belongs to the Special Issue Risk Analysis in Financial Crisis and Stock Market)
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