Quantitative Methods in Economics and Finance II

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

Deadline for manuscript submissions: closed (30 September 2023) | Viewed by 15129

Special Issue Editors


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Guest Editor
Faculty of Operation and Economics of Transport and Communications, University of Zilina, Univerzitna 1, 010 26 Zilina, Slovakia
Interests: international financial markets; investment management; financial management; corporate finance

Special Issue Information

Dear Colleagues,

The beginnings of quantitative methods and mathematical modeling in economics and finance can be traced back to the early stages of the development of classical political economy and are associated with names such as William Petty (1623–1687), Francois Quesnay (1694–1774), Léon Walras (1834–1910), Leonard Euler (1707–1783), Vilfredo Pareto (1848–1923), and many others. After the First World War, we can see a massive expansion of quantitative methods, both theoretical and practical. The exception was neither economics nor finance. An important milestone in this development was the year 1931, when the Econometric Society was founded and started to issue the Econometrica journal on a regular base. This helped to establish a new scientific branch of Econometrics, which considers the mathematical description and statistical verification of economic relations as its main content and, in a broader sense, also the implementation of mathematical methods into economics. The importance of quantitative methods in economics is clearly evident by the number of Nobel Prizes awarded for economics, where mathematical economists form a significant majority of laureates. For the thematic focus of this Special Issue, allow us to mention the most important ones: Leonid Vitalievič Kantorovič, James Tobin, Franco Modigliani, Harry M. Markowitz, Merton Miller, William F. Sharpe, John Forbes Nash, John C. Harsanyi, Robert Merton, Myron Scholes, Robert F. Engle, Clive W. J. Granger, Robert J. Aumann, Leonid Hurwicz a Eugene Fama.

We invite both theoretical and empirical contributions, which will be an important contribution to the development of the subject issue. We would like to thank potential authors for their efforts and wish plenty of success in the theory and practice of quantitative methods and mathematical modeling in economics and finance.

This issue is a continuation of the previous successful Special Issue “Quantitative Methods in Economics and Finance”.

Prof. Dr. Tomas Kliestik
Dr. Katarina Valaskova
Dr. Katarina Zvarikova
Guest Editors

Manuscript Submission Information

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Keywords

  • risk analysis and modeling in economics and finance
  • value at risk and conditional value at risk
  • creditMertics and corporateMetrics
  • financial econometrics
  • volatility models
  • risk of corporate bankruptcy prediction
  • structural credit risk modeling
  • reduced-form credit risk modeling
  • earnings management

Published Papers (4 papers)

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Research

19 pages, 467 KiB  
Article
Earnings Management and Sustainability Reporting Disclosure: Some Insights from Indonesia
by Sri Ningsih, Khusnul Prasetyo, Novi Puspitasari, Suham Cahyono and Khairul Anuar Kamarudin
Risks 2023, 11(7), 137; https://doi.org/10.3390/risks11070137 - 24 Jul 2023
Cited by 5 | Viewed by 2248
Abstract
Earnings manipulation is often associated with deceiving public information that is displayed in sustainability reports. Therefore, the current study aims to explore the nexus between earnings management and sustainability reporting practices in the context of Indonesia. This study employs 408 firm-year observations from [...] Read more.
Earnings manipulation is often associated with deceiving public information that is displayed in sustainability reports. Therefore, the current study aims to explore the nexus between earnings management and sustainability reporting practices in the context of Indonesia. This study employs 408 firm-year observations from listed companies in Indonesia during the 2010–2021 period to test the hypothesis using fixed effect regression analyses with standard error estimates. By examining their sustainability reports and financial statements over a specific period, the authors assess the extent to which earnings management influences sustainability reporting practices. This implies that companies engaging in earnings management practices are more likely to exhibit higher-quality sustainability reporting practices. The results contribute valuable and significant empirical insights into the interplay between earnings management and sustainability reporting specifically within the Indonesian context. Furthermore, this study goes beyond examining the relationship itself and delves into potential factors that may influence this relationship. Full article
(This article belongs to the Special Issue Quantitative Methods in Economics and Finance II)
14 pages, 447 KiB  
Article
Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR
by Pedro Coelho, Luís Gomes and Patrícia Ramos
Risks 2023, 11(7), 124; https://doi.org/10.3390/risks11070124 - 10 Jul 2023
Viewed by 1191
Abstract
Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react [...] Read more.
Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react non-linearly to positive/negative shocks. This problem justifies our research. The objective of this study is to examine evidence of cointegrations between the US housing and stock markets and between the US and European stock markets, given the international relevance of these exchanges. Using data from 1989:Q1 to 2020:Q2, the Threshold Autoregression model as well as the Momentum Threshold Autoregression model were calculated by combining the US Freddie, DJIA, and SPX indices and the European STOXX and FTSE indices. The results suggest a long-term equilibrium relationship with asymmetric adjustments between the housing market and the US stock markets, as well as between the DJIA, SPX, and FTSE indices. Moreover, the wealth effect is stronger when stock prices outperform house prices above an estimated threshold. This empirical evidence is useful to portfolio managers in their search for non-perfectly related markets that allow investment diversification and control risk exposure across different assets. Full article
(This article belongs to the Special Issue Quantitative Methods in Economics and Finance II)
17 pages, 730 KiB  
Article
The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches
by Katarzyna Czech and Łukasz Pietrych
Risks 2021, 9(8), 142; https://doi.org/10.3390/risks9080142 - 1 Aug 2021
Cited by 1 | Viewed by 3140
Abstract
The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market. We test the market efficiency by applying [...] Read more.
The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market. We test the market efficiency by applying two independent approaches, one based on the Uncovered Interest Parity theory, and another based on the fractal analysis of exchange rates series. The research results show that the Uncovered Interest Parity holds only on the USD/PLN market. For EUR/PLN, JPY/PLN, CHF/PLN, MXN/PLN and TRY/PLN, the Uncovered Interest Parity hypothesis is rejected and implies the existence of the forward premium anomaly and market inefficiency. The estimated Hurst coefficient provides insight into the long-range dependence of exchange rates. The MXN/PLN, TRY/PLN and EUR/PLN exchange rates exhibit anti-persistent behaviours suggesting mean-reverting characteristics. For JPY/PLN and CHF/PLN, a high value of the Hurst exponent indicates long memory in the time series. Only for USD/PLN, we achieve the Hurst exponent closest to 0.5, which implies market efficiency. The research results obtained based on the UIP hypothesis and fractal analysis are consistent. The study reveals that the market efficiency hypothesis holds only for the most tradable Polish zloty currency pair, i.e., USD/PLN. Full article
(This article belongs to the Special Issue Quantitative Methods in Economics and Finance II)
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28 pages, 5019 KiB  
Article
Financial Transactions Using FINTECH during the Covid-19 Crisis in Bulgaria
by Ivanka Vasenska, Preslav Dimitrov, Blagovesta Koyundzhiyska-Davidkova, Vladislav Krastev, Pavol Durana and Ioulia Poulaki
Risks 2021, 9(3), 48; https://doi.org/10.3390/risks9030048 - 5 Mar 2021
Cited by 36 | Viewed by 7208
Abstract
In the context of current crises following COVID-19 and growing global economic uncertainties, the issues regarding financial transactions with FINTECH are increasingly apparent. Consequently, in our opinion, the utilization of FINTECH financial transactions leads to a risk-reduction approach when in contact with other [...] Read more.
In the context of current crises following COVID-19 and growing global economic uncertainties, the issues regarding financial transactions with FINTECH are increasingly apparent. Consequently, in our opinion, the utilization of FINTECH financial transactions leads to a risk-reduction approach when in contact with other people. Moreover, financial transactions with FINTECH can save up customers’ pecuniary funds. Therefore, during crises, FINTECH applications can be perceived as more competitive than the traditional banking system. All the above have provoked us to conduct research related to the utilization of financial transactions with FINTECH before and after the COVID-19 crisis outbreak. The aim of the article is to present a survey analysis of FINTECH utilization of individual customers before and after the crisis in Bulgaria. The methodology includes a questionnaire survey of 242 individual respondents. For the data processing, we implemented statistical measures and quantitative methods, including two-sample paired t-tests, Levene’s test, and ANOVAs performed through the computer language Python in a web-based interactive computing environment for creating documents, Jupyter Notebook. The findings bring out the main issues related to the implementation of financial transactions with FINTECH under the conditions of the crisis. The findings include the identification of problems related to FINTECH transactions during the COVID-19 crisis in Bulgaria. Full article
(This article belongs to the Special Issue Quantitative Methods in Economics and Finance II)
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