Journal of Applied Finance and Banking最新文献

Machine Learning and Time Series Models for VNQ Market Predictions VNQ市场预测的机器学习和时间序列模型

Journal of Applied Finance and Banking Pub Date : 2021-06-15 DOI: 10.47260/JAFB/1152

Yu-Min Lian, Chi Li, Yi Wei

{"title":"Machine Learning and Time Series Models for VNQ Market Predictions","authors":"Yu-Min Lian, Chi Li, Yi Wei","doi":"10.47260/JAFB/1152","DOIUrl":"https://doi.org/10.47260/JAFB/1152","url":null,"abstract":"Abstract\u0000\u0000This study compares the price predictions of the Vanguard real estate exchange-traded fund (ETF) (VNQ) using the back propagation neural network (BPNN) and autoregressive integrated moving average (ARIMA) models. The input variables for BPNN include the past 3-day closing prices, daily trading volume, MA5, MA20, the S&P 500 index, the United States (US) dollar index, volatility index, 5-year treasury yields, and 10-year treasury yields. In addition, variable reduction is based on multiple linear regression (MLR). Mean square error (MSE), mean absolute error (MAE), and mean absolute percentage error (MAPE) are used to measure the prediction error between the actual closing price and the models’ forecasted price. The training set covers the period between January 1, 2015 and March 31, 2020, and the forecasting set covers the period from April 1, 2020 to June 30, 2020. The empirical results reveal that the BPNN model’s predictive ability is superior to the ARIMA model’s. The predictive accuracy of BPNN with one hidden layer is better than with two hidden layers. Our findings provide crucial market factors as input variables for BPNN that might inspire investors in VNQ markets.\u0000\u0000JEL classification numbers: C32, C45, C53, G17.\u0000\u0000Keywords: Vanguard real estate ETF (VNQ), Back propagation neural network (BPNN), Autoregressive integrated moving average (ARIMA), Multiple linear regression (MLR).","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126637225","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: 3

Governance, Financial Development and Economic Growth in the WAEMU area: Evidence from panel ARDL analysis 东亚货币联盟地区的治理、金融发展和经济增长:来自小组ARDL分析的证据

Journal of Applied Finance and Banking Pub Date : 2021-05-31 DOI: 10.47260/JAFB/1151

Drama Bédi Guy Hervé

{"title":"Governance, Financial Development and Economic Growth in the WAEMU area: Evidence from panel ARDL analysis","authors":"Drama Bédi Guy Hervé","doi":"10.47260/JAFB/1151","DOIUrl":"https://doi.org/10.47260/JAFB/1151","url":null,"abstract":"The objective of this work is to estimate the long-term effects of governance quality on financial development and the real sector growth in WAEMU zone covering the period of 1996 to 2018. To this end, we utilize the Pooled Mean Group (PMG) method to estimate a nonlinear panel through the ADRL model proposed by Pesaran et al., (1999) and Pesaran and Smith, (1995). The results show that the quality of certain governance factors determines the financial system and its capacity to accelerate growth in long run. The study demonstrates that the marginal effect of financial development on growth is about 0.69 point for a given threshold of governance quality. This outcome means that financial development affects positively growth and the governance level sustains that positive effect despite the poor quality of governance comprises between -1 and 1. Therefore, an improvement of governance quality will provide a favourable environment for financial development and consequently for economic growth. The study finally calls policy maker to more strengthen democracy and rule of law, this could offer more guarantees to banks for granting long-term credits.\u0000\u0000JEL classification numbers: C23, E44, G21.\u0000Keywords: Growth, Financial development, PMG, MG, WAEMU.","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"223 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120928539","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: 1

Mobile Credit and Performance: Experience and Lessons from Micro and Small Enterprises in Kenya 移动信贷与绩效:肯尼亚微型和小型企业的经验和教训

Journal of Applied Finance and Banking Pub Date : 2021-05-25 DOI: 10.47260/JAFB/1146

Silas Alumasa, S. Muathe

{"title":"Mobile Credit and Performance: Experience and Lessons from Micro and Small Enterprises in Kenya","authors":"Silas Alumasa, S. Muathe","doi":"10.47260/JAFB/1146","DOIUrl":"https://doi.org/10.47260/JAFB/1146","url":null,"abstract":"Micro and small enterprises sector is considered as very important in growing the economies of many countries, especially the developing nations. In Kenya, the Micro and small enterprises sector is an important contributor to the growth of the economy through facilitation of trade and creation of employment. While various interventions have been made to grow this sector, the enterprises have continued to perform poorly, struggle to survive and a large number die off. This study sought to investigate the effect of mobile credit on performance of micro and small enterprises. The study was to determine the effect of accessibility, the effect of the cost, the effect of mobile credit loan amount and the effect of regulation on performance of micro and small enterprises. The study was anchored on various theories of Resource based view, Dynamic capabilities, Diffusion of technology, Credit rationing, and the asymmetry of information. The study found out that the accessibility of mobile credit, the Loan amount and the regulation have significant positive effect on performance, while the cost of mobile credit has a significate negative effect on the performance of micro and small enterprises. The study concluded that mobile credit is an essential source of credit to micro and small enterprises. \u0000\u0000Keywords: Mobile credit, Micro and small enterprises, Performance, Resource based view, Dynamic capabilities theory.","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123294334","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: 3

Firm Funding and Investment under Bank Credit Control Policy: Evidence from China 银行信贷控制政策下的企业融资与投资:来自中国的证据

Journal of Applied Finance and Banking Pub Date : 2021-05-21 DOI: 10.47260/JAFB/1145

Xiao-rong Fu

{"title":"Firm Funding and Investment under Bank Credit Control Policy: Evidence from China","authors":"Xiao-rong Fu","doi":"10.47260/JAFB/1145","DOIUrl":"https://doi.org/10.47260/JAFB/1145","url":null,"abstract":"Using the 2014 China Banking Regulatory Commission (CBRC) credit control policy as a quasi-natural experiment, this paper demonstrates that credit supply contraction leads to a significant reduction in firm’s external funding, cash holding, and investment. Analysis of both loan-level and corporate-level data reveal that new bank loans issuance of targeted firms dropped significantly after the regulation. State-owned banks are identified as the main policy implementer. By instrumenting the change of loans issuance with the policy shock, I further discover the amplifying effect of large declines in bond issuance and trade credit for the targeted firms. Cash holdings were used to cushion the financing gap. Investment dropped and inefficient investment increased due to the shock. Interestingly, whereas such impacts were significant for non-state owned enterprises, state-owned enterprises (SOEs) were barely affected. Overall, I conclude that the lending control policy led to less capital resources allocated to non-SOEs but not SOEs.\u0000\u0000JEL classification numbers: G21, G28, G32, G38.\u0000Keywords: Bank lending, Firm funding, Firm investment, SOBs, SOEs, Credit policy, Credit rationing.","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126547712","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: 1

Measuring Market Risk of Commercial Banks Implementing VaR with Historical Simulation Approach 基于历史模拟法的商业银行VaR市场风险测度

Journal of Applied Finance and Banking Pub Date : 2021-05-12 DOI: 10.47260/JAFB/1144

M. Haq

引用次数: 0

Nonlinear Interactions and Volatility Spillovers between Stock and Foreign Exchange Markets: The STVEC-STGARCH-DCC Approach 股票和外汇市场的非线性相互作用和波动溢出:STVEC-STGARCH-DCC方法

Journal of Applied Finance and Banking Pub Date : 2021-04-25 DOI: 10.47260/JAFB/1143

Hsiang-Hsi Liu, Pi-Hsia Hung, Po-Hung Luo Cho

{"title":"Nonlinear Interactions and Volatility Spillovers between Stock and Foreign Exchange Markets: The STVEC-STGARCH-DCC Approach","authors":"Hsiang-Hsi Liu, Pi-Hsia Hung, Po-Hung Luo Cho","doi":"10.47260/JAFB/1143","DOIUrl":"https://doi.org/10.47260/JAFB/1143","url":null,"abstract":"This study aims to investigate the interactions, volatility spillovers and smooth transition effects between stock and foreign exchange markets in emerging versus developed countries by the Smooth Transition Vector Error Correction-Smooth Transition GARCH with Dynamic Conditional Correlation model (STVE-STGARCH-DCC). The empirical results yield several findings. Firstly, boom stock markets in emerging countries will trigger their domestic currency appreciation, while prosperous stock markets in developed countries result in currency depreciation. Secondly, the conditional variances for stock markets mainly result from unexpected shocks, past volatility, and short-term impact effects, thus leading to a persistence of volatility in both emerging and developed markets. The conditional variances for foreign exchange markets display similar patterns but show weaker short-term impact effects and slower transition speeds. Thirdly, unexpected shocks in a stock market broadly affect its own stock volatility, while those only affect India’s volatility in the rupee market. In contrast, unexpected shocks in foreign exchange markets mainly affect foreign exchange volatility, except for India; however, those influence their stock volatility only for emerging countries, such as India and South Africa. Lastly, developed markets are more efficient than emerging markets are.\u0000\u0000JEL classification numbers: C32, C51, C52, G11, G15\u0000Keywords: Asymmetric Effects, Bivariate STVEC-STGARCH-DCC, Market Efficiency, Nonlinear Model, Smooth Transition Auto-regression, ICSS Algorithm.","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"14 9","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133140209","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

Factors Affecting the Development Policies of Digital Deposit Accounts for the Bank in Taiwan 影响台湾银行数字存款账户发展政策之因素

Journal of Applied Finance and Banking Pub Date : 2021-04-19 DOI: 10.47260/JAFB/1142

Tsung-chun Chen, Fu-Hsiang Kuo, Weixin Lin

引用次数: 0

The Impact of Initial Public Offerings on Firms’ Performance: Disentangling Treatment from Self-Selection Effects 首次公开发行对公司绩效的影响:从自我选择效应中分离处理

Journal of Applied Finance and Banking Pub Date : 2021-04-15 DOI: 10.47260/JAFB/1141

Dario Salerno

引用次数: 0

Banking Sector Consolidation and Stability in Kenya 肯尼亚银行业整合与稳定

Journal of Applied Finance and Banking Pub Date : 2021-04-12 DOI: 10.47260/JAFB/1136

Samuel Kiemo, C. Mugo

{"title":"Banking Sector Consolidation and Stability in Kenya","authors":"Samuel Kiemo, C. Mugo","doi":"10.47260/JAFB/1136","DOIUrl":"https://doi.org/10.47260/JAFB/1136","url":null,"abstract":"This paper sought to examine the evaluation of competition and stability conditions in the Kenya banking sector amidst adoption various aspects of consolidation. This was achieved by exploring evolution of competition and stability conditions using bank-level and peer-level annual data from 2001 to 2017 for 37 banks. The paper adopted three-step estimation approach; first, estimated two competition measures Lerner Index and Panzar-Rosse H statistics to assess evolution of competition conditions. Secondly, constructed two stability measures Altman Z - Score and Bankometer S - Score to assess evolution of stability conditions. Thirdly, using panel GMM estimators introduced the estimated competition measures as explanatory variables and re-examined stability conditions to evaluate the role of competition in promoting banking sector stability. The study findings indicate competition conditions have increased and can be characterized as monopolistic competition. The banking sector stability conditions are high and sound, though downward trending. Increase in level of competition promotes stability conditions. The paper concludes that, adoption of various aspect of banking sector consolidation has led to improved competition and stability conditions in Kenya. Banking sectors players should continue implementing and adopting various policies that promote competition and stability such as market driven consolidations. JEL classification numbers: G2, G01, G33. Keywords: Bank Stability, Consolidation, Competition, Market Power, Lerner Index, Altman Z-Score, Bankometer S-Score, H-statistics.","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131006978","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: 3

Measuring Hukou Amenity by Using Urban Land Price in China 基于城市土地价格的户口适宜性测度

Journal of Applied Finance and Banking Pub Date : 2021-03-30 DOI: 10.47260/JAFB/1135

Haoxuan Zou, Guan Teng

{"title":"Measuring Hukou Amenity by Using Urban Land Price in China","authors":"Haoxuan Zou, Guan Teng","doi":"10.47260/JAFB/1135","DOIUrl":"https://doi.org/10.47260/JAFB/1135","url":null,"abstract":"This paper conducts an empirical study on the land supply with Chinese characteristics in terms of the most different characteristics between China and other major economies in the world, such as Hukou (household registration) system, by combining qualitative and quantitative analysis. The main purpose of this paper is to use land price to measure city amenity in China. By doing this, the spatial distribution of urban residents becomes much more understandable. This paper firstly points out the driving forces of population migration to cities are not only wages, but also cities’ amenity. The paper suggests that it is important to quantify the amenity of a city to understand the specific mechanism of amenity in population flow and regional development. It is found that the amenity of Hukou of other grades is far less than that of those top cities like Beijing. The paper suggests this polarization not only causes the sense of unfairness, but also damages the free flow of elements and economic efficiency. This paper has also recommended some useful thoughts on this issue, like to remove the limitation of population in the super first tier or first tier cities to give full play to the agglomeration effect and advantages of big cities. Besides, the supply of public goods cannot be too concentrated in large cities. The government needs to constantly narrow the regional public service gap on the supply side, gradually eliminate the privileges behind Hukou, and let the Hukou system return to its original meaning.\u0000\u0000JEL classification numbers: R20, R58.\u0000Keywords: Hukou, Amenity, Urban Land Supply.","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130961231","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