Annals of Financial Economics最新文献_第2页

Spillover Effects in the Presence of Structural Breaks, Persistence and Conditioned Heteroscedasticity 存在结构断裂、持续性和条件异方差时的溢出效应

IF 2

Annals of Financial Economics Pub Date : 2023-03-10 DOI: 10.1142/s2010495222500348

Francisca Mendonça Souza, Claudia Aline de Souza Ramser, A. Souza, C. D. da Veiga

{"title":"Spillover Effects in the Presence of Structural Breaks, Persistence and Conditioned Heteroscedasticity","authors":"Francisca Mendonça Souza, Claudia Aline de Souza Ramser, A. Souza, C. D. da Veiga","doi":"10.1142/s2010495222500348","DOIUrl":"https://doi.org/10.1142/s2010495222500348","url":null,"abstract":"The intention of this article is to develop an instrument to overcome the limitations caused by traditional analyses and present a combined STR — Smooth Transition Regression model (EGARCH, STRIGARCH, and STR-FIEGARCH) to analyze the contagion effects of the 2008 financial crisis. The proposed instrument will aid the analysis of contagion and the impact of changes in long-term interest rates on the returns of international stock indices and forecasting, with special emphasis on the effects caused by structural breaks, persistence, and conditioned heteroscedasticity. The methodology begins with unit root tests with one and two structural breaks. In the second step, the asymmetry will be analyzed considering the STR models, which will determine the asymmetry relationship between interest rates and the long term, so that in a later step, these asymmetries will be used in the composition of a volatility estimation model, being based on the ARCH models: (i) EGARCH and (ii) FIEGARCH. This study provides a useful instrument based on modeling techniques to make the decision-making process more efficient and objective, providing a choice of instruments that assess the effect of changes in interest rates on stock market indices when influenced by falls, with structural data and better forecasting performance. The results show that the developed mixture models obtained better performance in predicting the effect or impact of changes in interest rates on stock market indices when influenced by structural breaks. STR and the ARCH family are useful instruments that make the decision-making process clearer and more objective when choosing instruments that assess the spillover effect of long-term interest rates on the profitability of international financial indices.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49427730","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

Editorial: Statement for the Special Issue in Honor of Michael McAleer 社论：纪念迈克尔·麦卡利尔的特刊声明

IF 2

Annals of Financial Economics Pub Date : 2023-03-09 DOI: 10.1142/s2010495223020013

David Allen, Moawia Alghalith, Wing-Keung Wong

引用次数: 0

Financial Development and Income Inequality: Evidence From Advanced, Emerging and Developing Economies 金融发展与收入不平等：来自发达、新兴和发展中经济体的证据

IF 2

Annals of Financial Economics Pub Date : 2023-03-02 DOI: 10.1142/s2010495222410020

Carolyn Chisadza, M. Biyase

{"title":"Financial Development and Income Inequality: Evidence From Advanced, Emerging and Developing Economies","authors":"Carolyn Chisadza, M. Biyase","doi":"10.1142/s2010495222410020","DOIUrl":"https://doi.org/10.1142/s2010495222410020","url":null,"abstract":"We investigate the effects of financial development on income inequality for a global sample of countries between 1980 and 2019. The study contributes to the current literature by first, making use of a multifaceted index of financial development that captures different aspects of financial developments over time. Second, we compare the effects of financial development on income inequality across economic classifications, namely advanced, emerging and least developed countries. Last, we investigate the non-linear effects of financial development on income inequality across these economic classifications. The findings indicate that in general, financial development reduces inequality across emerging and least developed countries, but is not statistically significant for advanced countries. However, when we disaggregate the financial development index into its sub-components (financial institutions and financial markets), we find different effects on inequality, based on the levels of development. Further investigation on the dimensions under financial institutions and financial markets (depth, access and efficiency) reveals that banking sector development under financial institutions has income inequality-reducing effects in emerging and least developed countries, while stock market development under financial markets widens inequality in least developed countries. We also find heterogeneous non-linear effects between emerging and least developed countries. The findings in our paper firstly highlight the nuances in financial development depending on the level of development in countries, and secondly that policies focused on financial inclusion of the poor can mitigate inequality.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46257066","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

Density and Risk Prediction with Non-Gaussian COMFORT Models 非高斯COMFORT模型的密度和风险预测

Annals of Financial Economics Pub Date : 2023-02-09 DOI: 10.1142/s2010495222500336

Marc S. Paolella, Paweł Polak

引用次数: 0

The Impact of Macroeconomic Indicators on the Balance of Payments: Empirical Evidence from Afghanistan 宏观经济指标对国际收支的影响:来自阿富汗的经验证据

IF 2

Annals of Financial Economics Pub Date : 2022-12-15 DOI: 10.1142/s2010495222500324

Abdul Hadi Sultani, U. Faisal

引用次数: 0

The Asymmetric Effect of the Extreme Changes in the Economic Policy Uncertainty on the Exchange Rates: Evidence from Emerging Seven Countries 经济政策不确定性极端变化对汇率的非对称效应:来自新兴七国的证据

IF 2

Annals of Financial Economics Pub Date : 2022-12-07 DOI: 10.1142/s2010495222500312

Alina Maydybura, Raheel Gohar, Asma Salman, Wing-Keung Wong, B. Chang

{"title":"The Asymmetric Effect of the Extreme Changes in the Economic Policy Uncertainty on the Exchange Rates: Evidence from Emerging Seven Countries","authors":"Alina Maydybura, Raheel Gohar, Asma Salman, Wing-Keung Wong, B. Chang","doi":"10.1142/s2010495222500312","DOIUrl":"https://doi.org/10.1142/s2010495222500312","url":null,"abstract":"This research has focused on examining the connection between uncertainties in economic policies and exchange rates. This research extends the literature to this field by analyzing the impact of small to large negative along with small to large positive variations in the economic policy uncertainty on the currency rates. For this purpose, this research uses the Granger causality in the quantile test and a newly constructed multiple asymmetric threshold nonlinear ARDL (MATNARDL) model. When a nonlinear ARDL model is utilized, our results confirmed the nonlinear impact in three nations only. In contrast, when the MATNARDL technique is utilized, these findings do confirm the nonlinear effect for all nations. Furthermore, when the Granger causality in the quantile test is applied, the impact differs over various quantiles. In general, the enhanced framework encourages us to analyze better how EPU affects the exchange rate in the emerging seven (E7) nations. The findings of our research may be useful for state banks to design policies to make interventions in the foreign currency market.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48296613","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: 8

An Analysis of the U.S. Individual Investor Sentiment Influence on Cryptocurrency Returns and Volatility 美国个人投资者情绪对加密货币收益和波动性的影响分析

IF 2

Annals of Financial Economics Pub Date : 2022-11-30 DOI: 10.1142/s2010495222420015

Mustafa Sayim, Nguyen Quang My

引用次数: 0

INVESTMENT BASED ON SIZE, VALUE, MOMENTUM AND INCOME MEASURES: A STUDY IN THE TAIWAN STOCK MARKET 基于规模、价值、动量和收益衡量的投资&基于台湾股市的研究

IF 2

Annals of Financial Economics Pub Date : 2022-11-10 DOI: 10.1142/s2010495222500270

Richard Lu, J. Wang, Wing-Keung Wong

{"title":"INVESTMENT BASED ON SIZE, VALUE, MOMENTUM AND INCOME MEASURES: A STUDY IN THE TAIWAN STOCK MARKET","authors":"Richard Lu, J. Wang, Wing-Keung Wong","doi":"10.1142/s2010495222500270","DOIUrl":"https://doi.org/10.1142/s2010495222500270","url":null,"abstract":"Cross-sectional characteristics of stocks such as market value, market-to-book ratio and accumulated past return can be applied to formulate equity portfolios in the stock-picking process to generate good profits in some markets, which relate to the well-known size, value and momentum or contrarian strategies in the literature. Alternatively, income measures in financial statements drive investors in stock markets to buy or sell in an intuitive way that can be also used in the stock-picking process to generate good profits in some markets. This study applies these types of information in the formation period to formulate long-short strategies and investigates both the returns and risk profiles in the holding period afterward and checks whether the measures can be used to generate good profits in the Taiwan markets for the period from January 1980 to June 2020. Given different lengths of the holding period and different equity segments, our empirical analysis shows that strategies filtered by the income measure of gross profitability outperform the counterparts filtered by the operating profitability. Moreover, while the momentum or contrarian effect is not, the size and value effects are helpful to improve the performance of long-short strategies filtered by gross profitability.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49204971","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

ON THE PREDICTIVE VALUE OF THE (SHADOW) REAL INTEREST RATE FOR THE REALIZED VOLATILITY OF GOLD-PRICE RETURNS 论(影子)实际利率对金价收益实现波动率的预测价值

IF 2

Annals of Financial Economics Pub Date : 2022-11-10 DOI: 10.1142/s2010495222410019

Christian Pierdzioch, Sebastian Rohloff, Roland von Campe

引用次数: 2

TIME-FREQUENCY CO-MOVEMENT BETWEEN COVID-19 AND PAKISTAN’S STOCK MARKET: EMPIRICAL EVIDENCE FROM WAVELET COHERENCE ANALYSIS COVID-19与巴基斯坦股市的时频共动:来自小波相干性分析的经验证据

IF 2

Annals of Financial Economics Pub Date : 2022-10-27 DOI: 10.1142/s2010495222500269

Shoaib Ali, Muhammad Naveed, Aisha Saleem, Muhammad Wajahat Nasir

{"title":"TIME-FREQUENCY CO-MOVEMENT BETWEEN COVID-19 AND PAKISTAN’S STOCK MARKET: EMPIRICAL EVIDENCE FROM WAVELET COHERENCE ANALYSIS","authors":"Shoaib Ali, Muhammad Naveed, Aisha Saleem, Muhammad Wajahat Nasir","doi":"10.1142/s2010495222500269","DOIUrl":"https://doi.org/10.1142/s2010495222500269","url":null,"abstract":"Purpose: This paper aims to analyze the impact of COVID-19 on Pakistan’s traditional (KSE-100) and Islamic (KMI-30) stock market returns. Methodology: This study uses daily data of total cases and deaths of COVID-19 from February 25, 2020 to May 26, 2021. We utilize continuous wavelet transform (CWT), partial wavelet transforms and wavelet coherence transform (WCT) approaches to inspect the impact of COVID-19 on the stock return of KSE-100 and KMI-30 from March 13, 2020 to May 26, 2021. Findings: Contrary to European and several Asian stock markets, these both indexes behave the opposite during COVID-19. This study indicates that COVID-19 influences both these indexes and has a significant impact on both KSE-100 and KMI-30 index in the longer time frame. This study also discloses that with the increasing number of total cases, total death stock market daily return. Practical implications: Investors diversify their portfolio in the desire to achieve maximum return on minimum risk so they diversify across different countries and certain emerging market indexes might provide them a big edge to maximize their return. This diversified strategy can financially support different well-performing emerging markets and save emerging economies. This study enhances the investors trust and confidence to invest in both KSE-100 and KMI-30 due to favorable return of stocks. Originality/value: This examines the co-movement between COVID-19 and the traditional and Islamic stock index of Pakistan whereas, the previous paper only examined the volatility of these indexes during COVID-19. This study also extends the literature that examines how COVID-19 affected the traditional and Islamic stock market indexes.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47510101","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