发布求助
文献互助 智能选刊 最新文献

Journal of Applied Finance & Banking最新文献

筛选
英文 中文
Whether Family-owned Enterprises Affect the Correlation between the Extent of export and the Acquisition of the Third-party Assurance of the Corporate Social Responsibility Reports 家族企业是否影响出口程度与取得企业社会责任报告第三方担保的相关性
Journal of Applied Finance & Banking Pub Date : 2022-10-28 DOI: 10.47260/jafb/1311
Hsin-Yi Huang, Lien Chih-Kang, Feng-Chen Lin, I-Ting Tsai
{"title":"Whether Family-owned Enterprises Affect the Correlation between the Extent of export and the Acquisition of the Third-party Assurance of the Corporate Social Responsibility Reports","authors":"Hsin-Yi Huang, Lien Chih-Kang, Feng-Chen Lin, I-Ting Tsai","doi":"10.47260/jafb/1311","DOIUrl":"https://doi.org/10.47260/jafb/1311","url":null,"abstract":"Abstract\u0000\u0000What are the impacts of the extent of export on the corporate social responsibility (CSR) report disclosure and assurance of family firms? This research considers the role of Taiwan’s supply chain around the world and compares family-owned and non-family-owned enterprises to determine if there are differences on whether the firm issue CSR report and acquire the third party assurance in accordance with the extent of export. We utilizes companies listed firms from 2008 to 2019 as the sample. The results show that family-owned enterprises are less likely to issue corporate social responsibility reports and acquire the third-party assurance even if they have high export level. The research contributes to prior CSR report disclosure literature by showing evidence on the type of companies or corporate governance mechanisms that could acquire the assurance service of the third party. Moreover, the economy in Taiwan mainly relies on the massive export. The evidence provided by this study should give valuable implications to the academia, practice and government.\u0000\u0000Keywords: Family-owned enterprises; corporate social responsibility report; extent of export; third party assurance.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114290068","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}
引用次数: 0
Pharmaceutical and Telecommunications Sector Weak Form Market Efficiency Study in Indonesian Capital Market 2017-2020 2017-2020年印尼资本市场医药和电信行业弱形式市场效率研究
Journal of Applied Finance & Banking Pub Date : 2022-10-25 DOI: 10.47260/jafb/1269
Cheng-Wen Lee, Taufiqquddin Ande
{"title":"Pharmaceutical and Telecommunications Sector Weak Form Market Efficiency Study in Indonesian Capital Market 2017-2020","authors":"Cheng-Wen Lee, Taufiqquddin Ande","doi":"10.47260/jafb/1269","DOIUrl":"https://doi.org/10.47260/jafb/1269","url":null,"abstract":"Abstract\u0000\u0000This study aims to examine the efficiency of the weak form market in the pharmaceutical and telecommunications sectors in the Indonesian capital market during the 2017-2020 period (1 January 2017 – 30 December 2020) and the 2020 Covid-19 period (1 January 2020 – 30 December 2020). The data used in this study is daily stock closing prices. Jarque-Bera normality test, Ljung Box autocorrelation test to assess serial dependencies, run test, and Augmented Dickey Fuller (ADF) to test the random walk hypothesis were among the statistical tests utilized. The pharmaceutical and telecommunications sectors were in poor shape during the research period, according to the findings. This research offers guidance to potential funders as well as future researchers.\u0000\u0000JEL classification numbers: G14, G19.\u0000Keywords: Efficient Market Hypothesis, Random Walk Hypothesis, Covid-19.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133766764","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}
引用次数: 0
Selected Methods of optimized Sampling for Index Tracking – Evidence from German Stocks 指数跟踪的最佳抽样选择方法——来自德国股票的证据
Journal of Applied Finance & Banking Pub Date : 2022-10-14 DOI: 10.47260/jafb/1268
F. Meyer-Bullerdiek
{"title":"Selected Methods of optimized Sampling for Index Tracking – Evidence from German Stocks","authors":"F. Meyer-Bullerdiek","doi":"10.47260/jafb/1268","DOIUrl":"https://doi.org/10.47260/jafb/1268","url":null,"abstract":"Abstract\u0000\u0000The aim of this study is to verify the tracking quality of four different optimization approaches used for approximate replication (sampling) of a stock index. These approaches include relative optimization, optimization according to Markowitz, the use of regression methods and linear optimization. To test the tracking qualities of these strategies, an empirical analysis of portfolios of 10 stocks included in the German stock index DAX is used to determine the in-sample and out-of-sample results. In addition, a portfolio composition based on market capitalization and an equally weighted portfolio are considered.\u0000The analysis shows that the in-sample results are quite similar for all index tracking methods used in this study. Considering the out-of-sample results, it can be stated that all four index tracking methods lead to a portfolio that initially shows a high degree of similarity to the benchmark. However, it is surprising that the equally weighted portfolio leads to the best overall results. Therefore, the analysis presented here gives the impression that the uncomplicated equal weighting is preferable to the more sophisticated index tracking methods considered in this study.\u0000\u0000JEL classification number: G11.\u0000Keywords: Index tracking, Sampling, Optimization, Tracking error, Residual risk.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121512936","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}
引用次数: 0
Jump Dynamics and Leverage Effect: Evidences from Energy Exchange Traded Fund (ETFs) 跳跃动力学与杠杆效应:来自能源交易所交易基金(etf)的证据
Journal of Applied Finance & Banking Pub Date : 2022-10-12 DOI: 10.47260/jafb/1267
Jo-Hui Chen, Sabbor Hussain
{"title":"Jump Dynamics and Leverage Effect: Evidences from Energy Exchange Traded Fund (ETFs)","authors":"Jo-Hui Chen, Sabbor Hussain","doi":"10.47260/jafb/1267","DOIUrl":"https://doi.org/10.47260/jafb/1267","url":null,"abstract":"Abstract\u0000\u0000This paper is concerned with the behavior of energy ETF prices. It applies three models: autoregressive moving average (ARMA) and generalized autoregressive conditional heteroskedasticity (GARCH), along with their revised forms, ARMA–Exponential-GARCH, Glosten-Jagannathan-Runkle (GJR), and GARCH diffusion process with jump models. This study looks at the volatility behavior and jumps dynamics of Energy and Master Limited Partnership's (MLP) ETFs. The results show that ARMA-GARCH is appropriate for modeling energy and MLP ETFs. Both ETFs offer positive leverage and asymmetric volatility. The results show that the jump model with a GARCH volatility specification has an actual amount of jump presence and time variation in the jump size distribution. The conclusion of the ARMA - EGARCH model gives evidence of the reverse leverage effect. The leverage term positively influences the conditional variance, while the asymmetry coefficient for the GJR model is positive and significant. These results reveal that both Energy and MLPs ETF have high volatility.\u0000\u0000JEL classification numbers: F3.\u0000Keywords: Energy ETFs, MLPs, ARMA-GARCH model, Volatility Asymmetry, Leverage and Jump Effect.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130728042","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}
引用次数: 0
Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series 利用财务收益序列的插值分布估算风险价值
Journal of Applied Finance & Banking Pub Date : 2022-10-12 DOI: 10.47260/jafb/1316
Saeed Shaker-Akhtekhane, Solmaz Poorabbas
{"title":"Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series","authors":"Saeed Shaker-Akhtekhane, Solmaz Poorabbas","doi":"10.47260/jafb/1316","DOIUrl":"https://doi.org/10.47260/jafb/1316","url":null,"abstract":"Abstract\u0000\u0000This paper develops a model for estimating Value-at-Risk (VaR) from the historical return series. The proposed method uses spline interpolation to represent the empirical probability distribution of the return series. The approach developed in this paper is easy to implement using available programming platforms, and it can be generalized to other applications that involve estimating empirical distribution. In order to check the validity of the model, we use established back-testing methods and show that the model is robust to the changes in sample size and significance levels used to estimate VaR. We test the model against some similar distribution-based models using historical data from S&P500 index. We show that Value-at-Risk estimation based on the proposed method can outperform common historical, parametric, and kernel-based methods. As a result, the method can be useful in the context of validation of market risk models.\u0000\u0000JEL classification numbers: C52, C63, G17, G32.\u0000Keywords: Value-at-Risk, Non-parametric estimation, Empirical distribution, Spline Interpolation.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"130 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132683359","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}
引用次数: 0
Testing for the Long Memory and Multiple Structural Breaks in Consumer ETFs 消费型etf的长记忆与多重结构断裂检验
Journal of Applied Finance & Banking Pub Date : 2022-09-14 DOI: 10.47260/jafb/1266
Malinda Maya, Jo-Hui Chen
{"title":"Testing for the Long Memory and Multiple Structural Breaks in Consumer ETFs","authors":"Malinda Maya, Jo-Hui Chen","doi":"10.47260/jafb/1266","DOIUrl":"https://doi.org/10.47260/jafb/1266","url":null,"abstract":"Abstract\u0000\u0000This research examines the consumer exchange-traded funds (ETFs) in several industries based on long memory and multiple structural breaks. The autoregressive fractionally integrated moving average (ARFIMA) model indicates that consumer ETF returns in the media, consumer service, food and beverage, and consumer goods industries can be accurately predicted. The autoregressive fractionally integrated moving average and fractionally integrated generalized autoregressive conditional heteroskedasticity (ARFIMA-FIGARCH) model reveals that only the gaming and consumer goods industries have a long memory in volatility. This study establishes that through the iterated cumulative sum square test, multiple structural breaks exist in consumer ETF industries. Results prove that the consumer goods industry has a long memory and multiple structural breaks. Finally, the structural breaks in consumer ETFs have strong asymmetrical effects, indicating that all of the consumer ETF industries are generally unstable.\u0000\u0000Keywords: The Long Memory, Multiple Structural Breaks, Consumer ETFs, Iterated Cumulative Sums Squares Test.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116021751","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}
引用次数: 0
The Effects of Financial Ratios on the Perceived Risk Count for Single Equity VIX 财务比率对单一股票波动率指数感知风险数的影响
Journal of Applied Finance & Banking Pub Date : 2022-09-14 DOI: 10.47260/jafb/1265
Jo-Hui Chen, Sabbor Hussain, W. Yeh
{"title":"The Effects of Financial Ratios on the Perceived Risk Count for Single Equity VIX","authors":"Jo-Hui Chen, Sabbor Hussain, W. Yeh","doi":"10.47260/jafb/1265","DOIUrl":"https://doi.org/10.47260/jafb/1265","url":null,"abstract":"Abstract\u0000\u0000The determinants of fear gauge from March 2005 to September 2019 are empirically examined with attention to the single equity volatility index (VIX). This study utilized Poisson and Negative Binomial Regressions to investigate the link between perceived risk count and its variables at certain levels of quantiles. The Negative Binomial model was chosen based on the highest log-likelihood value and the lowest the Akaike information criterion (AIC) value to analyze the market psychology condition of investors. The result of the return on equity (ROE), cash conversion cycle (CCC), and dividend payout ratio (DPR) are negatively significant in both medium and higher quantile of perceived risk count. The debt ratio and free cash flow (FCF) positively affect the perceived risk count. The impacts of variables on higher quantile have a greater influence on perceived risk count, followed by medium quantile.\u0000\u0000JEL classification numbers: G32.\u0000Keywords: Perceived Risk Count, Equity VIX, Poisson and Negative Binomial Regressions.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128171259","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}
引用次数: 0
China's Green Finance Premium Anomalies Based on Factor Models 基于因子模型的中国绿色金融溢价异常
Journal of Applied Finance & Banking Pub Date : 2022-08-04 DOI: 10.47260/jafb/1264
Lianqian Yin, Qiuju Wang
{"title":"China's Green Finance Premium Anomalies Based on Factor Models","authors":"Lianqian Yin, Qiuju Wang","doi":"10.47260/jafb/1264","DOIUrl":"https://doi.org/10.47260/jafb/1264","url":null,"abstract":"Abstract\u0000\u0000The positive externalities of green producers usually reduce the company's earnings. Whether the markets give sufficient premium is important. Sampling the data of listed companies from May 2005 to April 2017 in Shanghai and Shenzhen A-share main-board markets, we construct 12 portfolios based on market factor RMRF, scale factor SMB, book-to-market factor HML and green factor GF. Results show: 1) SMB premium is significant positive, while HML is negative; 2) For green concept stocks, HML has a significant positive impact; 3) Portfolio with non-green concept stocks has a higher return; 4) GF has a significant negative risk premium on China’s green concept stocks, and the premium level will decrease as the book-to-market ratio increases. The interpretation of the above premium anomalies improves national environmental protection policies which is of great significance for the formation of a sound environmental protection industry.\u0000\u0000Keywords: Factor Model; Green Finance; Premium Anomalies; Excess Return; Environmental Protection.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115872085","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}
引用次数: 0
Bank Competition, Financing Constraints and Enterprise Innovation 银行竞争、融资约束与企业创新
Journal of Applied Finance & Banking Pub Date : 2022-08-03 DOI: 10.47260/jafb/1263
Jing-Yi Hou, Xiaoyu Lu
{"title":"Bank Competition, Financing Constraints and Enterprise Innovation","authors":"Jing-Yi Hou, Xiaoyu Lu","doi":"10.47260/jafb/1263","DOIUrl":"https://doi.org/10.47260/jafb/1263","url":null,"abstract":"Abstract\u0000\u0000In recent years, the innovation behavior of enterprises has attracted more and more attention. Our study proves that encouraging bank competition can promote enterprise innovation. The study found that there is a negative correlation between the bank concentration index in county areas and the innovation output of local enterprises in China. At the same time, we find that bank competition can more effectively improve the financing constraints of private enterprises and small enterprises, thus promoting enterprise innovation.\u0000\u0000JEL classification numbers: G21,O31,O32.\u0000Keywords: Bank Competition; Financing Constraints; Enterprise Innovation; Credit Discrimination.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125105193","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}
引用次数: 2
Efficiency of Syrian Banks: A Nonparametric Frontier Approach 叙利亚银行效率:一个非参数边界方法
Journal of Applied Finance & Banking Pub Date : 2022-07-14 DOI: 10.47260/jafb/1262
Haidar Haidar
{"title":"Efficiency of Syrian Banks: A Nonparametric Frontier Approach","authors":"Haidar Haidar","doi":"10.47260/jafb/1262","DOIUrl":"https://doi.org/10.47260/jafb/1262","url":null,"abstract":"Abstract\u0000\u0000The objective of this study is to measure efficiency of Syrian private banks. The study utilizes a non-parametric approach, namely the Data Envelopment Analysis DEA, and uses input- orientated models to measure pure technical efficiency and scale efficiency. Five alternative models under two approaches have been applied to show the effect of changing inputs and outputs on the estimated efficiency scores. Cross- sectional data were chosen to estimate efficiency scores of Syrian private banks. The Software DEAP, version 2.1, has been used in the analysis and the obtained results were compared against traditional performance measures. Study results show that the overall average efficiency score is low due to the low average of scale efficiency. \u0000\u0000\u0000JEL classification numbers: C14, D61, G21.\u0000Keywords: Efficiency, Data Envelopment Analysis, Syrian Banks.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131583805","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}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信