GATR Journal of Finance and Banking Review Vol. 7 (3) October - December 2022最新文献

{"title":"Testing Black Scholes and Garch Model Options on Gold Price Index With Long Strangle Strategy Using 1985-2020 Data","authors":"R. Hendrawan, Daniel Erpriandy Maharsasi","doi":"10.35609/jfbr.2022.7.3(3)","DOIUrl":"https://doi.org/10.35609/jfbr.2022.7.3(3)","url":null,"abstract":"Objective - This research examines the implementation of options contracts on gold prices using GARCH and Black Scholes models accompanied by a long strangle strategy.\u0000\u0000Methodology – This research used 36 years of secondary data for daily gold prices from www.gold.org obtained from the year 1985 to 2020. The implementation of options contracts on gold prices using GARCH and Black Scholes models with long strangle strategy through three types of maturity dates (1-month, 2-months, and 3-months). These results were tested by comparing the average percentage value of the actual options premium price and the options calculated using the AMSE (Average Mean Square Error) methodology, where the smallest percentage value is a more precise reflection of the model.\u0000\u0000Findings – The research indicates that the results of the error percentage for 1-month, 2-months, and 3-months maturities increased linearly along with the size of the maturity period of the option contract also profit percentage of long strangle strategy for gold price option contract in average 17-27% or below 30%.\u0000\u0000Novelty – Based on the research result, the long strangle strategy is not the best strategy regarding the gold price option contract, and this study can contribute to current practices for the investor. Also, this research is unique because no research used gold price data for 36 years (daily basis) for the options contracts.\u0000\u0000Type of Paper - Empirical\u0000\u0000Keywords: Gold Price; Options Contract; Black Scholes; GARCH; Long Strangle; AMSE\u0000\u0000JEL Classification: G11, G13.\u0000\u0000Reference to this paper should be made as follows: Hendrawan, R; Maharsasi, D.E. (2022). Testing Black Scholes and Garch Model Options on Gold Price Index With Long Strangle Strategy Using 1985-2020 Data, J. Fin. Bank. Review, 7(3), 160 – 174. https://doi.org/10.35609/jfbr.2022.7.3(3)","PeriodicalId":182600,"journal":{"name":"GATR Journal of Finance and Banking Review Vol. 7 (3) October - December 2022","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116852224","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Reasons and Factors of Evolution of the Information System in Public Institutions","authors":"Fleur C. Khalil, Cesar A. Kamel, Jeanne A. Kaspard","doi":"10.35609/jfbr.2022.7.3(1)","DOIUrl":"https://doi.org/10.35609/jfbr.2022.7.3(1)","url":null,"abstract":"Objective - This empirical study treats the evolution of the information system in the Lebanese public sector while addressing the reasons and factors for this evolution. This topic is of particular interest given the results of empirical studies already carried out in some countries, which highlight the improvement in the performance of public institutions through the evolution of the I.S. from a simple I.S. to a digital one.\u0000\u0000Methodology – A qualitative method with an interpretativist positioning and a deductive approach was used, with a mono-case field study which is the case of the Ministry of Finance. The tool used is the semi-structured interview addressed to 30 governmental employees from three different regions.\u0000\u0000Findings – However, these results show different benefits and degrees of performance improvement. There are gaps in the adoption or use of digital I.S. Hence the interest in analyzing the I.S. evolution process in a Lebanese public institution, which is none other than the Ministry of Finance. Indeed, after implementing a digital I.S. in some Lebanese public institutions, no study has been undertaken to measure the I.S.'s performance and evaluate the goals reached through this implementation. Therefore, the research problem is formulated: How and why has the information system evolved in the Lebanese public sector?\u0000\u0000Novelty – The analysis showed that digital I.S. results are in line with previous ones in some developed countries in terms of improving the processing of the number of files and creating value by saving time and reducing costs. However, this use is far from reaching its optimal threshold. Government functionaries' limited use of digital I.S. in some regions is mainly due to the lack of perceived usefulness of digital I.S. and lack of motivation. In light of the shortcomings mentioned above, this work proposes recommendations for better use of the investments made in digital I.S.\u0000\u0000Type of Paper - Empirical\u0000\u0000Keywords: Evolution of I.S.; Digital I.S.; Performance; E-Taxation; State institution.\u0000\u0000JEL Classification: I20, I22.\u0000\u0000Reference to this paper should be made as follows: Khalil, F.C; Kamel, C.A; Kaspard, J.A. (2022). Reasons and Factors of Evolution of the Information System in Public Institutions, J. Fin. Bank. Review, 7(3), 135 – 148. https://doi.org/10.35609/jfbr.2022.7.3(1)","PeriodicalId":182600,"journal":{"name":"GATR Journal of Finance and Banking Review Vol. 7 (3) October - December 2022","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133334433","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}