Journal of Applied Finance and Banking最新文献_第3页

Money Supply, Inflation and Economic Growth in China: An ARDL Bounds Testing Approach 中国货币供给、通货膨胀与经济增长:一种ARDL边界检验方法

Journal of Applied Finance and Banking Pub Date : 2020-11-06 DOI: 10.47260/jafb/1115

Cheng-Wen Lee, Haozhe Yu

引用次数: 1

Standard or Sustainable - Which Offers Better Performance for the Passive Investor 标准或可持续-为被动投资者提供更好的表现

Journal of Applied Finance and Banking Pub Date : 2020-11-05 DOI: 10.47260/jafb/1114

Daniel Khajenouri, Jacob H Schmidt

{"title":"Standard or Sustainable - Which Offers Better Performance for the Passive Investor","authors":"Daniel Khajenouri, Jacob H Schmidt","doi":"10.47260/jafb/1114","DOIUrl":"https://doi.org/10.47260/jafb/1114","url":null,"abstract":"This research report studies the risk-adjusted performance of the major international\u0000equity indices against their ESG screened equivalents (MSCI World, MSCI USA,\u0000MSCI Emerging Markets, and MSCI Europe). The daily closing prices, returns,\u0000standard deviations, and Sharpe ratio characteristics are analyzed from 2013 to 2020.\u0000The current literature available from highly rated journals on the subject is also\u0000considered, which provided mixed results on the subject matter. We found no\u0000academic papers focusing specifically on analyzing the performance of indices and\u0000their ESG screened equivalents. With this paper, we intend to fill this gap in the\u0000current research available.\u0000We conclude that for the passive investor, choosing ESG screened indices over the\u0000conventional equivalent has consistently provided better risk-adjusted returns over\u0000the long-term period. These findings are robust with the consistently higher Sharpe\u0000ratios over the eight-year period for each index. We predict ESG investments may\u0000continue to outperform due to changing retail and institutional investor preferences.\u0000Keywords: Sustainable, Passive, Investment, ESG, Asset, Management, Wealth","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117119308","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: 5

An Analysis on Bank Credit and Industrial Structure Upgrading of Beijing-Tianjin-HebeiRegion-Based on Technological Innovation Mode 基于技术创新模式的京津冀地区银行信贷与产业结构升级分析

Journal of Applied Finance and Banking Pub Date : 2020-10-02 DOI: 10.47260/JAFB/1111

Qinglu Yuan, Huan Zhou

{"title":"An Analysis on Bank Credit and Industrial Structure Upgrading of Beijing-Tianjin-Hebei\u0000Region-Based on Technological Innovation Mode","authors":"Qinglu Yuan, Huan Zhou","doi":"10.47260/JAFB/1111","DOIUrl":"https://doi.org/10.47260/JAFB/1111","url":null,"abstract":"Facing different technological innovation mode, there is a significant difference in\u0000the industrial structure effect of bank credit, this would have important research\u0000significance for technological innovation mode selection in Beijing-Tianjin-Hebei\u0000Region. Based on the data of 43 cities in the Beijing-Tianjin-Hebei region for the\u0000period of 2009-2016, this paper builds a panel threshold model to analysis the\u0000industrial structure effect of bank credit. The result shows that: bank credit has a\u0000nonlinear industrial structure effect in the Beijing-Tianjin-Hebei region under the\u0000current level of economic development. The impetus for indigenous innovation\u0000plays a sustained and significant boosting role in it, and it promote to resources\u0000translocation from secondary industry to tertiary industry. However, the technology\u0000import is gradually lost, even becomes negative effect. The policy suggestion is:\u0000firstly, the Beijing-Tianjin-Hebei region needs to increase introduction of high\u0000quality technology, in order to raise the level of technological innovation. Secondly,\u0000the Beijing-Tianjin-Hebei region needs to adhere to the development strategy of\u0000indigenous innovation, in order to promote the upgrading of the industrial structure.","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"283 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134456812","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

A Study of Taiwanese Banks’ Home Loan Life Insurance Attached to Home Loans 台湾银行住宅贷款附带人寿保险之研究

Journal of Applied Finance and Banking Pub Date : 2020-10-01 DOI: 10.47260/JAFB/10611

Pih-Shuw Chen, Jia-Jan Lee, Peiyu Ou

引用次数: 0

The Effects of Exchange Rate Volatility on Exports in COMESA: A Panel Gravity Model Approach 东南非共同市场汇率波动对出口的影响:面板重力模型方法

Journal of Applied Finance and Banking Pub Date : 2020-09-25 DOI: 10.47260/JAFB/10610

L. Njoroge

{"title":"The Effects of Exchange Rate Volatility on Exports in COMESA: A Panel Gravity Model Approach","authors":"L. Njoroge","doi":"10.47260/JAFB/10610","DOIUrl":"https://doi.org/10.47260/JAFB/10610","url":null,"abstract":"In the recent past, exchange rate volatility has become a matter of concern for developing and emerging economies partly due to monetary policy actions of advanced economies and partly due to domestic policy actions. This study examines the effects of exchange rate volatility on exports, using a panel gravity model covering the period 1997 to 2019, to estimate pooled, fixed and random effects models for a panel of 19 COMESA member countries. Applying two alternative measures of exchange rate volatility, empirical results reveal that exchange rate volatility tends to depress both intra and extra-COMESA trade. The results suggest that policy makers in COMESA should not ignore exchange rate volatility when designing trade policies and strategies in member countries. Monetary authorities should strive to stabilize exchange rates by addressing the underlying causes of large, unpredictable and damaging exchange rate fluctuations while cautiously avoiding either further destabilizing the exchange rate or depleting foreign reserve buffers that could result in vulnerability to external shocks. It is also important to develop regional infrastructure like roads, railways and ports to further integrate the region and hence unlock the trade potential for COMESA region.","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128837703","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: 4

The Impact of Innovation on Banking Performance: Evidence from Lebanese Banking Sector 创新对银行绩效的影响:来自黎巴嫩银行业的证据

Journal of Applied Finance and Banking Pub Date : 2020-09-21 DOI: 10.47260/JAFB/1069

Fatima Chalabi

引用次数: 0

Bank Regulation: One Size Does Not Fit All 银行监管:一刀切不适合所有人

Journal of Applied Finance and Banking Pub Date : 2017-02-09 DOI: 10.2139/SSRN.2477809

David Grossmann, Peter Scholz

引用次数: 8

The Dynamic Market-Derived Capital Pricing Model: Theoretical Foundations and Empirical Analysis 动态市场资本定价模型:理论基础与实证分析

Journal of Applied Finance and Banking Pub Date : 2014-05-01 DOI: 10.2139/SSRN.2431750

Chaouki Mouelhi, J. Saint-Pierre

引用次数: 0

The Stability of Retail Banks’ Deposit at the Early Stages of Covid-19 Pandemic: A Preliminary Evidence from Euro Area 新冠肺炎大流行初期零售银行存款的稳定性:来自欧元区的初步证据

Journal of Applied Finance and Banking Pub Date : 1900-01-01 DOI: 10.47260/jafb/10612

Paolo Agnese

引用次数: 3

Extreme Value Theory with an Application to Bank Failures through Contagion 极端价值理论及其在银行破产传染中的应用

Journal of Applied Finance and Banking Pub Date : 1900-01-01 DOI: 10.20381/RUOR-4871

Rashid Nikzad, D. McDonald

{"title":"Extreme Value Theory with an Application to Bank Failures through Contagion","authors":"Rashid Nikzad, D. McDonald","doi":"10.20381/RUOR-4871","DOIUrl":"https://doi.org/10.20381/RUOR-4871","url":null,"abstract":"This study attempts to quantify the shocks to a banking network and analyze the transfer of shocks through the network. We consider two sources of shocks: external shocks due to market and macroeconomic factors which impact the entire banking system, and idiosyncratic shocks due to failure of a single bank. The external shocks we considered in this study are due to exchange rate shocks. An ARMA/GARCH model is used to extract i.i.d. residuals for this purpose. The effect of external shocks will be estimated by using two methods: (i) bootstrap simulation of the time series of shocks that occurred to the banking system in the past, and (ii) using the extreme value theory (EVT) to model the tail part of the shocks. In the next step, the probability of the failure of banks in the system is studied by using the Monte Carlo simulation. We also introduce the importance sampling technique in the EVT modeling to increase the probability of failure in the simulation. We calibrate the model such that the network resembles the Canadian banking system.JEL classification numbers: G2, C1Keywords: Monte Carlo Simulation; Extreme Value Theory; GARCH; Importance Sampling; Bank Contagion","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129883241","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