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Volume 13
Issue 5
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J. Risk Financial Manag., Volume 13, Issue 5 (May 2020) – 22 articles

Cover Story (view full-size image): This paper dynamically analyses the comovements between Germany, the UK, and the US, and the countries of the European Union, using correlation coefficients based on detrended cross-correlation analysis (DCCA) and a sliding window approach, allowing for a time-varying analysis. Results suggest that Germany and other Eurozone countries generally share high levels of comovements, although the decision about Brexit reduced those connections. It is also possible to see that the subprime crisis increased the comovements among markets. View this paper.
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17 pages, 311 KiB  
Article
Competition, Debt Maturity, and Adjustment Speed in China: A Dynamic Fractional Estimation Approach
by Sultan Sikandar Mirza, Tanveer Ahsan, Raheel Safdar and Ajid Ur Rehman
J. Risk Financial Manag. 2020, 13(5), 106; https://doi.org/10.3390/jrfm13050106 - 23 May 2020
Cited by 5 | Viewed by 2445
Abstract
The purpose of this study was to investigate the capital structure adjustment rate in different levels of product market competitions. We classified Chinese non-financial listed firms into highly, moderately, and less competitive firms and applied an unbiased dynamic panel fractional estimator on unbalanced [...] Read more.
The purpose of this study was to investigate the capital structure adjustment rate in different levels of product market competitions. We classified Chinese non-financial listed firms into highly, moderately, and less competitive firms and applied an unbiased dynamic panel fractional estimator on unbalanced panel data of 10,941 firm-year observations during the period of 1998 to 2015. We find that the adjustment rate of highly and less competitive firms towards long-term target capital structure is higher (28.2–29.1%) as compared to the adjustment rate towards short-term target capital structure (18.8–18.9%). On the other hand, the adjustment rate of moderately competitive firms towards long-term target capital structure is slower (22.3%) as compared to the adjustment rate towards short-term target capital structure (25.3%). Further, the adjustment rate of highly and less competitive firms differs significantly between long-term and short-term target capital structure, while the adjustment rate of moderately competitive firms remains steady. Highly competitive large firms follow the limited liability model to adjust their target capital structure and support trade-off theory, while both small and large firms follow the limited liability and predation models in moderately and less competitive environments, respectively. Full article
(This article belongs to the Special Issue Time Series Econometrics)
8 pages, 236 KiB  
Article
Estimating Bargaining Power in Real Estate Pricing Models: Conceptual and Empirical Issues
by Steven B. Caudill and Franklin G. Mixon, Jr.
J. Risk Financial Manag. 2020, 13(5), 105; https://doi.org/10.3390/jrfm13050105 - 23 May 2020
Cited by 1 | Viewed by 2148
Abstract
The relative bargaining power of the buyer and seller is a key feature of real estate pricing models. Classic real estate studies have sought to address bargaining effects in hedonic regression models. Prior research proposes a procedure to estimate bargaining effects in hedonic [...] Read more.
The relative bargaining power of the buyer and seller is a key feature of real estate pricing models. Classic real estate studies have sought to address bargaining effects in hedonic regression models. Prior research proposes a procedure to estimate bargaining effects in hedonic regression models that depends critically on a substitution to eliminate omitted variables bias. This study shows that the proposed solution that is often cited in the real estate economics literature does not solve the omitted variables problem given that both models are merely different parameterizations of the same model, and thus produces biased estimates of bargaining power when certain property characteristics are omitted. A classic hedonic regression model of real estate prices using Corsican apartment data supports our contention, even when the assumption of bargaining power symmetry is relaxed. Full article
(This article belongs to the Special Issue Real Estate Economics and Finance)
21 pages, 898 KiB  
Article
A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices
by Chuxuan Jiang, Priya Dev and Ross A. Maller
J. Risk Financial Manag. 2020, 13(5), 104; https://doi.org/10.3390/jrfm13050104 - 20 May 2020
Cited by 1 | Viewed by 3700
Abstract
Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be established; however, this is not a straightforward task, particularly [...] Read more.
Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be established; however, this is not a straightforward task, particularly in the presence of heavy tails. We develop an empirical hypothesis test to identify whether a time series is likely to exhibit multifractal scaling in the presence of heavy tails. The test is constructed by comparing estimated scaling functions of financial time series to simulated scaling functions of both an iid Student t-distributed process and a Brownian Motion in Multifractal Time (BMMT), a multifractal processes constructed in Mandelbrot et al. (1997). Concavity measures of the respective scaling functions are estimated, and it is observed that the concavity measures form different distributions which allow us to construct a hypothesis test. We apply this method to test for multifractal scaling across several financial time series including Bitcoin. We observe that multifractal scaling cannot be ruled out for Bitcoin or the Nasdaq Composite Index, both technology driven assets. Full article
(This article belongs to the Special Issue Financial Statistics and Data Analytics)
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15 pages, 267 KiB  
Article
Corporate Governance and Agency Cost: Empirical Evidence from Vietnam
by Anh Huu Nguyen, Duong Thuy Doan and Linh Ha Nguyen
J. Risk Financial Manag. 2020, 13(5), 103; https://doi.org/10.3390/jrfm13050103 - 20 May 2020
Cited by 30 | Viewed by 10808
Abstract
This study examines the impact of corporate governance, reflecting a wide spectrum of board characteristics and ownership structure on agency costs in 281 listed companies on Ho Chi Minh Stock Exchange (HOSE) in Vietnam in the period 2013–2018. For this purpose, three board [...] Read more.
This study examines the impact of corporate governance, reflecting a wide spectrum of board characteristics and ownership structure on agency costs in 281 listed companies on Ho Chi Minh Stock Exchange (HOSE) in Vietnam in the period 2013–2018. For this purpose, three board characteristics were chosen: (1) the size of board of directors, (2) equilibrium between non-executive and executive members of the board of directors, (3) the CEO chair duality and three types of ownership structures were chosen: (1) management ownership, (2) government ownership, (3) foreign ownership. An inverse proxy of agency costs is used: asset utilization ratio (asset turnover), which reflects the managerial efficiency. The research methodology includes three statistical approaches: Ordinary least squares (OLS), fixed effects model (FEM) and random effects model (REM) are considered to employ to address econometric issues and to improve the accuracy of the regression coefficients. The results can create effective corporate governance mechanisms in controlling the managerial opportunistic behavior to lower agency conflicts, and hence lower agency costs. Full article
(This article belongs to the Section Economics and Finance)
7 pages, 201 KiB  
Editorial
Risk and Financial Management of COVID-19 in Business, Economics and Finance
by Chia-Lin Chang, Michael McAleer and Wing-Keung Wong
J. Risk Financial Manag. 2020, 13(5), 102; https://doi.org/10.3390/jrfm13050102 - 20 May 2020
Cited by 59 | Viewed by 18621
Abstract
The SARS-CoV-2 coronavirus that causes the COVID-19 disease led to the most significant change in the world order over the past century, destabilizing the global economy and financial stock markets, the world’s economy, social development, business, risk, financial management and financial markets, among [...] Read more.
The SARS-CoV-2 coronavirus that causes the COVID-19 disease led to the most significant change in the world order over the past century, destabilizing the global economy and financial stock markets, the world’s economy, social development, business, risk, financial management and financial markets, among others. COVID-19 has generated great uncertainty, and dramatically affected tourism, travel, hospitality, supply chains, consumption, production, operations, valuations, security, financial stress and the prices of all products, including fossil fuel and renewable energy sources. This Editorial introduces a Special Issue of the Journal of Risk and Financial Management (JRFM) on the “Risk and Financial Management of COVID-19 in Business, Economics and Finance”. This Special Issue will attract practical, state-of-the-art applications of mathematics, probability and statistical techniques on the topic, including empirical applications. This paper investigates important issues that have been discussed in tourism, global health security and risk management in business as well as the social and medical sciences. Full article
(This article belongs to the Special Issue Risk and Financial Management of COVID-19 in Business, Economics and Finance)
16 pages, 320 KiB  
Article
Security Measures as a Factor in the Competitiveness of Accommodation Facilities
by Rafał Nagaj and Brigita Žuromskaitė
J. Risk Financial Manag. 2020, 13(5), 99; https://doi.org/10.3390/jrfm13050099 - 19 May 2020
Cited by 12 | Viewed by 4860
Abstract
The main aim of this article was to assess whether the level of competitiveness of accommodation facilities results from the level of safety and security provided to consumers of these services, measured by the number of security measures applied in them. The authors’ [...] Read more.
The main aim of this article was to assess whether the level of competitiveness of accommodation facilities results from the level of safety and security provided to consumers of these services, measured by the number of security measures applied in them. The authors’ task was to examine the level of concentration of security measures in the accommodation facilities and to assess whether the quality of services measured by the star-rating system provided a higher level of safety and security for customers of the accommodation facilities, measured by the number of security measures applied in them. It was decided to examine whether the level of concentration of security measures at the accommodation facilities was treated by these entities as a factor of their competitiveness. Two locations in Central and Eastern Europe, one in Poland and one in Lithuania, were analyzed. The article calculated the frequency of these measures at the accommodation facilities by type of facility (according to the star-rating system) and type of security measure (as a weighted average) and their concentration using the Herfindahl–Hirscham Index. The results showed that the higher the quality of services provided (more stars), the higher the level of safety and security is ensured. It was also found that a higher level of security was not reflected in the prices of accommodation services. Full article
(This article belongs to the Special Issue Feature Papers on Tourism Economics, Finance, and Management)
5 pages, 469 KiB  
Comment
Remarks on Bank Competition and Convergence Dynamics
by Mike G. Tsionas
J. Risk Financial Manag. 2020, 13(5), 101; https://doi.org/10.3390/jrfm13050101 - 19 May 2020
Cited by 1 | Viewed by 1629
Abstract
In a recent paper, Karadima and Louri use frontier-based measures of market power and bank competition in an application to Euro Area banking. The purpose of the present note is to access their paper in a critical way, as there are certain fallacies [...] Read more.
In a recent paper, Karadima and Louri use frontier-based measures of market power and bank competition in an application to Euro Area banking. The purpose of the present note is to access their paper in a critical way, as there are certain fallacies and errors. Full article
(This article belongs to the Section Applied Economics and Finance)
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22 pages, 678 KiB  
Article
Monthly Art Market Returns
by Fabian Y.R.P. Bocart, Eric Ghysels and Christian M. Hafner
J. Risk Financial Manag. 2020, 13(5), 100; https://doi.org/10.3390/jrfm13050100 - 19 May 2020
Viewed by 3642
Abstract
We provide an innovative methodological contribution to the measurement of returns on infrequently traded assets using a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation with other markets, typically with higher liquidity and high frequency [...] Read more.
We provide an innovative methodological contribution to the measurement of returns on infrequently traded assets using a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation with other markets, typically with higher liquidity and high frequency trading. Using the new econometric approach, we propose a monthly art market index, as well as sub-indices for impressionist, modern, post-war, and contemporary paintings based on repeated sales at a monthly frequency. The correlations enable us to update the art index via observed transactions in other markets that have a link with the art market. Full article
(This article belongs to the Section Mathematics and Finance)
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21 pages, 502 KiB  
Article
Analyst Forecast Dispersion and Market Return Predictability: Does Conditional Equity Premium Play a Role?
by Shuang Liu, Juan Yao and Stephen Satchell
J. Risk Financial Manag. 2020, 13(5), 98; https://doi.org/10.3390/jrfm13050098 - 16 May 2020
Viewed by 3229
Abstract
Prior studies found that analyst forecast dispersion predicts future market returns. Some prior studies attribute this predictability to the short-sale constraints in the market according to the overpricing theory. Using the U.S. data from 1981 to 2014, we find that the return predictive [...] Read more.
Prior studies found that analyst forecast dispersion predicts future market returns. Some prior studies attribute this predictability to the short-sale constraints in the market according to the overpricing theory. Using the U.S. data from 1981 to 2014, we find that the return predictive power of aggregate dispersion only exists prior to 2005. The investor sentiment index, as a proxy of short-sale constraints used by many studies, can only explain the dispersion effect prior to 2005. The investor sentiment index and other proxies such as institutional ownership and put options cannot explain the significant weakening of the dispersion effect after the global financial crisis. We argue that the dispersion-return relation is partly driven by the correlation between dispersion and conditional equity premium. Our evidence suggests that the short-sale constrained stocks do not experience a higher dispersion effect, which is contrary to what the overpricing theory predicts. Full article
(This article belongs to the Special Issue Modern Portfolio Theory)
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15 pages, 849 KiB  
Article
Innovation and Firm Performance: The Moderating and Mediating Roles of Firm Size and Small and Medium Enterprise Finance
by Ploypailin Kijkasiwat and Pongsutti Phuensane
J. Risk Financial Manag. 2020, 13(5), 97; https://doi.org/10.3390/jrfm13050097 - 15 May 2020
Cited by 54 | Viewed by 10104
Abstract
This study examines the moderating effect of firm size on the relationship between innovation and firm performance of small and medium enterprises in 29 countries in Eastern European and Central Asia. The study also investigates whether the impact of innovation in products and [...] Read more.
This study examines the moderating effect of firm size on the relationship between innovation and firm performance of small and medium enterprises in 29 countries in Eastern European and Central Asia. The study also investigates whether the impact of innovation in products and processes on firm performance is affected by financial capital. The method applied is partial least square structural equation modelling. The findings indicate that firm size and the financial capital both moderate and mediate the impact of innovation on firm performance, positively or negatively. The findings have implications for decision makers by highlighting the significance of firm size and financial sources when planning to introduce innovations to enhance firm performance. Full article
(This article belongs to the Special Issue Innovation and SME Finance)
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23 pages, 363 KiB  
Article
Entrepreneurial Finance: Insights from English Language Training Market in Vietnam
by Thanh-Hang Pham, Manh-Toan Ho, Thu-Trang Vuong, Manh-Cuong Nguyen and Quan-Hoang Vuong
J. Risk Financial Manag. 2020, 13(5), 96; https://doi.org/10.3390/jrfm13050096 - 13 May 2020
Cited by 5 | Viewed by 6195
Abstract
Entrepreneurship plays an indispensable role in the economic development and poverty reduction of emerging economies like Vietnam. The rapid development of technologies during the Fourth Industrial Revolution (Industry 4.0) has a significant impact on business in every field, especially in the innovation-focused area [...] Read more.
Entrepreneurship plays an indispensable role in the economic development and poverty reduction of emerging economies like Vietnam. The rapid development of technologies during the Fourth Industrial Revolution (Industry 4.0) has a significant impact on business in every field, especially in the innovation-focused area of entrepreneurship. However, the topic of entrepreneurial activities with technology applications in Vietnam is under-researched. In addition, the body of literature regarding entrepreneurial finance tends to focus on advanced economies, while mostly neglecting the contextual differences in developing nations. Therefore, this research contributes to these topics by investigating the main characteristics of a high potential market for entrepreneurs in Vietnam, which is the English language training market (ELTM). It also aims at indicating the impacts of technology on the entrepreneurial firms within this market, with an emphasis on financing sources. To answer the research questions, this study employs a qualitative analysis and conducts 12 in-depth, semi-structured interviews with entrepreneurs and researchers in the field. The key findings in our study highlight the main contributing factors to the growth of the market, both universally and context-specific for a developing nation like Vietnam. It also lists the leaders in each market segment and the industry’s potential profit margin. The results also show that most entrepreneurs in the ELTM utilized private sources of finance rather than external ones, such as bank loans. It again confirms the idea from previous works that even with the rapid development of the economic and technological landscape, entrepreneurial activities in general barely benefit from additional sources of funding. However, it also points out the distinct characteristics of the ELTM that may influence these financing issues; for example, English training services usually collect revenues from customers before delivering their classes. This is of advantage for entrepreneurs in this area and helps significantly reduce the financial barriers. These findings, which are among the first attempts to contribute to a better understanding of entrepreneurial opportunities in the Industry 4.0 in Vietnam, provide valuable insights for policymakers and entrepreneurs, as well as investors. Full article
(This article belongs to the Special Issue Entrepreneurial Finance at the Dawn of Industry 4.0)
31 pages, 413 KiB  
Article
Forest of Stochastic Trees: A Method for Valuing Multiple Exercise Options
by R. Mark Reesor and T. James Marshall
J. Risk Financial Manag. 2020, 13(5), 95; https://doi.org/10.3390/jrfm13050095 - 13 May 2020
Cited by 1 | Viewed by 2479
Abstract
We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method [...] Read more.
We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method to allow for a multi-dimensional underlying process. The FOST can also be viewed as extending the stochastic tree method for valuing (single exercise) American-style options to multiple exercise options. The proposed valuation method results in positively- and negatively-biased estimators for the true option value. We prove the sign of the estimator bias and show that these estimators are consistent for the true option value. This method is of particular use in cases where there is potentially a large number of assets underlying the contract and/or the underlying price process depends on multiple risk factors. Numerical results are presented to illustrate the method. Full article
(This article belongs to the Special Issue Computational Finance)
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19 pages, 312 KiB  
Article
The Investment Home Bias with Peer Effect
by Haim Levy
J. Risk Financial Manag. 2020, 13(5), 94; https://doi.org/10.3390/jrfm13050094 - 11 May 2020
Cited by 2 | Viewed by 2125
Abstract
Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor’s 500 stock index (S&P 500 [...] Read more.
Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor’s 500 stock index (S&P 500 stock index) may induce an increase in the domestic investment weight by American investors and, hence, rationalize the IHB. While this argument is valid in the mean-variance framework, employing bivariate first-degree stochastic dominance (BFSD), we prove that this intuition is generally invalid. Counter intuitively, employing “keeping up with the Joneses” (KUJ) preference with actual international data even enhances the IHB phenomenon. Full article
(This article belongs to the Special Issue Mathematical Finance with Applications)
12 pages, 1252 KiB  
Article
Finding Nemo: Predicting Movie Performances by Machine Learning Methods
by Jong-Min Kim, Leixin Xia, Iksuk Kim, Seungjoo Lee and Keon-Hyung Lee
J. Risk Financial Manag. 2020, 13(5), 93; https://doi.org/10.3390/jrfm13050093 - 09 May 2020
Cited by 3 | Viewed by 4892
Abstract
Analyzing the success of movies has always been a popular research topic in the film industry. Artificial intelligence and machine learning methods in the movie industry have been applied to modeling the financial success of the movie industry. The new contribution of this [...] Read more.
Analyzing the success of movies has always been a popular research topic in the film industry. Artificial intelligence and machine learning methods in the movie industry have been applied to modeling the financial success of the movie industry. The new contribution of this research combined Bayesian variable selection and machine learning methods for forecasting the return on investment (ROI). We also attempt to compare machine learning methods including the quantile regression model with movie performance data in terms of in-sample and out of sample forecasting. Full article
(This article belongs to the Special Issue Machine Learning Applications in Finance)
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16 pages, 882 KiB  
Article
Financial Compass for Slovak Enterprises: Modeling Economic Stability of Agricultural Entities
by Katarina Valaskova, Pavol Durana, Peter Adamko and Jaroslav Jaros
J. Risk Financial Manag. 2020, 13(5), 92; https://doi.org/10.3390/jrfm13050092 - 07 May 2020
Cited by 35 | Viewed by 5345
Abstract
The risk of corporate financial distress negatively affects the operation of the enterprise itself and can change the financial performance of all other partners that come into close or wider contact. To identify these risks, business entities use early warning systems, prediction models, [...] Read more.
The risk of corporate financial distress negatively affects the operation of the enterprise itself and can change the financial performance of all other partners that come into close or wider contact. To identify these risks, business entities use early warning systems, prediction models, which help identify the level of corporate financial health. Despite the fact that the relevant financial analyses and financial health predictions are crucial to mitigate or eliminate the potential risks of bankruptcy, the modeling of financial health in emerging countries is mostly based on models which were developed in different economic sectors and countries. However, several prediction models have been introduced in emerging countries (also in Slovakia) in the last few years. Thus, the main purpose of the paper is to verify the predictive ability of the bankruptcy models formed in conditions of the Slovak economy in the sector of agriculture. To compare their predictive accuracy the confusion matrix (cross tables) and the receiver operating characteristic curve are used, which allow more detailed analysis than the mere proportion of correct classifications (predictive accuracy). The results indicate that the models developed in the specific economic sector highly outperform the prediction ability of other models either developed in the same country or abroad, usage of which is then questionable considering the issue of prediction accuracy. The research findings confirm that the highest predictive ability of the bankruptcy prediction models is achieved provided that they are used in the same economic conditions and industrial sector in which they were primarily developed. Full article
(This article belongs to the Special Issue International Trends and Economic Sustainability on Emerging Markets)
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23 pages, 10345 KiB  
Article
EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients
by Oussama Tilfani, Paulo Ferreira, Andreia Dionisio and My Youssef El Boukfaoui
J. Risk Financial Manag. 2020, 13(5), 91; https://doi.org/10.3390/jrfm13050091 - 07 May 2020
Cited by 9 | Viewed by 4035
Abstract
For this paper, we dynamically analysed the comovements between three major stock markets—Germany, the UK, and the US—and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were used, and [...] Read more.
For this paper, we dynamically analysed the comovements between three major stock markets—Germany, the UK, and the US—and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the objective of performing a dynamic analysis, sliding windows were used in an attempt to represent short and long-term analyses. Critical moments in financial markets worldwide were also taken into account, namely the subprime debt crisis, the sovereign debt crisis, and Brexit. The results suggest that Germany and other Eurozone countries generally share high levels of comovements, although the Brexit decision reduced those connections. The subprime crisis also increases comovements among markets. Full article
(This article belongs to the Special Issue Stock Markets Behavior)
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12 pages, 2004 KiB  
Communication
Negative Interest Rates
by Sarkis Joseph Khoury and Poorna C. Pal
J. Risk Financial Manag. 2020, 13(5), 90; https://doi.org/10.3390/jrfm13050090 - 07 May 2020
Cited by 2 | Viewed by 4642
Abstract
Negative interest rates are an invention of monetary authorities to show that monetary activism does not have boundaries, i.e., as if there is no such thing as a liquidity trap. Their presence in the financial landscape has redefined the benefits to savers and [...] Read more.
Negative interest rates are an invention of monetary authorities to show that monetary activism does not have boundaries, i.e., as if there is no such thing as a liquidity trap. Their presence in the financial landscape has redefined the benefits to savers and to investors. Governments can now borrow at will without visibly adding to budget deficits. This makes negative interest borrowing an alternative to raising taxes. Banks can now achieve regulatory compliance partially at the expense of depositors. Commercial banks pay to keep money at the central bank instead of earning interest on it. This paper shows the true nature of negative interest rates and their consequences on various economic agents and performance measures, specifically on economic growth and exchange rates. In addition, this paper demonstrates that the arguments in favor of negative interest rates have been largely exaggerated based on the weight of the evidence that shows the United States, which never issued negative interest rates debt, is a leader among developed countries in terms of economic growth in a non-inflationary environment. Full article
(This article belongs to the Special Issue LIQUIDITY: Efficiency and Stability in Financial Markets - Selected papers from 4th Chapman Conference on Money and Finance.)
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22 pages, 339 KiB  
Article
The Determinants of Credit Risk: An Evidence from ASEAN and GCC Islamic Banks
by Faridah Najuna Misman and M. Ishaq Bhatti
J. Risk Financial Manag. 2020, 13(5), 89; https://doi.org/10.3390/jrfm13050089 - 06 May 2020
Cited by 26 | Viewed by 7336
Abstract
In less than a decade, the Islamic Banking (IB) industry has become an essential part of the global financial system. During the last ten years, the IB industry has witnessed changes in economic conditions and proved to be resilient during the periods of [...] Read more.
In less than a decade, the Islamic Banking (IB) industry has become an essential part of the global financial system. During the last ten years, the IB industry has witnessed changes in economic conditions and proved to be resilient during the periods of financial crisis. This paper aims to examine the important issues related to credit risk in selected Islamic banks in nine countries from Association of South East Asian Nations (ASEAN) and Gulf Cooperation Council (GCC) regions. It employs the generalized least squares panel data regression, to estimate the ratio of non-performance financing to total financing as dependent variables and bank specific variables (BSV) to determine the credit risk. It uses 12 years of unbalanced panel data from 40 different Islamic banks. The overall findings show that financing quality has a significant positive effect on credit risk. It is observed that the larger IBs owned more assets with lower credit risk compared to smaller banks. The bank’s age is also an important factor influencing the credit risk level. Moreover, regulatory capital significantly reduces the credit risk exposure adherence to the minimum regulatory capital requirements which help IBs to manage their credit risk exposures. It was also observed that IBs were not affected by the global financial crisis due to less credit risk compared to the conventional banks. Full article
(This article belongs to the Special Issue Islamic Finance)
19 pages, 7497 KiB  
Review
Is Bitcoin Similar to Gold? An Integrated Overview of Empirical Findings
by Nikolaos A. Kyriazis
J. Risk Financial Manag. 2020, 13(5), 88; https://doi.org/10.3390/jrfm13050088 - 01 May 2020
Cited by 35 | Viewed by 8196
Abstract
This paper sets out to explore whether Bitcoin can be considered as a globally accepted asset that has a resemblance to gold, which is widely considered to be the safest choice. An integrated overview of the empirical findings generated by the nascent but [...] Read more.
This paper sets out to explore whether Bitcoin can be considered as a globally accepted asset that has a resemblance to gold, which is widely considered to be the safest choice. An integrated overview of the empirical findings generated by the nascent but increasingly proliferating literature concerning the nexus between Bitcoin and gold is provided. The majority of evidence reveals that Bitcoin has a long way to go before it acquires the same characteristics as the safe-haven asset of gold. Overall, Bitcoin is found to be an efficient hedge against oil and stock market indices, but to a lesser extent than gold. Bitcoin presents low or negative correlations or an asymmetric non-linear linkage with gold. Despite sharing some common features with traditional assets, Bitcoin is found to be a good hedging asset in portfolios with gold. Moreover, evidence reveals that gold is a better and more stable safe-haven investment than Bitcoin. Full article
(This article belongs to the Special Issue Recent Developments in Cryptocurrency Markets: Co-movements, Spillovers and Forecasting)
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13 pages, 523 KiB  
Article
Precious Metal Mutual Fund Performance Evaluation: A Series Two-Stage DEA Modeling Approach
by Ioannis E. Tsolas
J. Risk Financial Manag. 2020, 13(5), 87; https://doi.org/10.3390/jrfm13050087 - 30 Apr 2020
Cited by 10 | Viewed by 3766
Abstract
This paper documents a new series two-stage data envelopment analysis (DEA) modeling framework for mutual fund performance evaluation in terms of operational and portfolio management efficiency that is implemented to a sample of precious metal mutual funds (PMMFs). In the first and second [...] Read more.
This paper documents a new series two-stage data envelopment analysis (DEA) modeling framework for mutual fund performance evaluation in terms of operational and portfolio management efficiency that is implemented to a sample of precious metal mutual funds (PMMFs). In the first and second stage, one-input/one-output and multi-input/one-output settings are used, respectively. In the light of the results, the funds assessed are inefficient in both operational and portfolio management process and in particular, they seem to be more inefficiently operated. The operational management efficiency is correlated with portfolio management efficiency and, therefore, sample funds should give more emphasis on their operational policies to ensure their success in the industry. The research framework may not only benefit PMMFs, but also funds of other classes to quantify their performance and improve their competitive advantages. Full article
(This article belongs to the Special Issue Volatility Modelling and Forecasting)
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3 pages, 161 KiB  
Editorial
Financial Time Series: Methods and Models
by Massimiliano Caporin and Giuseppe Storti
J. Risk Financial Manag. 2020, 13(5), 86; https://doi.org/10.3390/jrfm13050086 - 28 Apr 2020
Viewed by 2731
Abstract
The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of Risk and Financial Management [...] Read more.
The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of Risk and Financial Management on “Financial Time Series: Methods & Models” contributes to the evolution of research on the analysis of financial time series by presenting a diversified collection of scientific contributions exploring different lines of research within this field. Full article
(This article belongs to the Special Issue Financial Time Series: Methods & Models)
16 pages, 8080 KiB  
Article
Current Research Trends on Interrelationships of Eco-Innovation and Internationalisation: A Bibliometric Analysis
by Paulius Šūmakaris, Deniss Ščeulovs and Renata Korsakienė
J. Risk Financial Manag. 2020, 13(5), 85; https://doi.org/10.3390/jrfm13050085 - 27 Apr 2020
Cited by 8 | Viewed by 3122
Abstract
In this paper, bibliometric analysis is conducted on eco-innovation and internationalisation, since in the scientific literature, both research fields have been considered as being interrelated. Although the adoption of eco-innovation and internationalisation are risky processes, they reduce competitive risk and increase performance in [...] Read more.
In this paper, bibliometric analysis is conducted on eco-innovation and internationalisation, since in the scientific literature, both research fields have been considered as being interrelated. Although the adoption of eco-innovation and internationalisation are risky processes, they reduce competitive risk and increase performance in a highly competitive business environment. The main objective of this study is to identify current research trends on the interrelationships of eco-innovations and internationalisation as well as the main areas of knowledge and to provide a general overview of research streams that can be classified using by papers, authors and journals found in the Web of Science database. In total, 1677 publications published between 1991 and 2020 related to eco-innovations and internationalisation were taken into consideration. For the visualisation of bibliographic material, VOSviewer software was used. These findings provide valuable insights by revealing the trends and highlighting the possible research streams for future investigations in the field of eco-innovations and internationalisation research. Full article
(This article belongs to the Special Issue Innovation, Internationalization and Entrepreneurship)
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