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Annals of Financial Economics最新文献

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Revisiting Inflation-Growth Nexus: An Endogenous Growth Model with Financial Frictions 通货膨胀与增长的关系:金融摩擦下的内生增长模型
IF 2
Annals of Financial Economics Pub Date : 2022-01-31 DOI: 10.1142/s2010495222500014
F. Chang, Lin Zhang
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引用次数: 1
Approximate series solutions of a one-factor term structure model for bond pricing 一类债券定价单因素期限结构模型的近似级数解
IF 2
Annals of Financial Economics Pub Date : 2022-01-31 DOI: 10.1142/s2010495222500051
S. Edeki, Deborah Chikwado Okoli, Hijaz Ahmad, W. Wong
{"title":"Approximate series solutions of a one-factor term structure model for bond pricing","authors":"S. Edeki, Deborah Chikwado Okoli, Hijaz Ahmad, W. Wong","doi":"10.1142/s2010495222500051","DOIUrl":"https://doi.org/10.1142/s2010495222500051","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47301531","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
Ten Ways to Specify a Gini Coefficient Using Entropy 使用熵来指定基尼系数的十种方法
IF 2
Annals of Financial Economics Pub Date : 2022-01-31 DOI: 10.1142/s2010495221400017
H. Ryu, D. Slottje
{"title":"Ten Ways to Specify a Gini Coefficient Using Entropy","authors":"H. Ryu, D. Slottje","doi":"10.1142/s2010495221400017","DOIUrl":"https://doi.org/10.1142/s2010495221400017","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43522499","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 U.S. monetary policy uncertainty shock on international equity markets 美国货币政策的不确定性冲击了国际股市
IF 2
Annals of Financial Economics Pub Date : 2022-01-31 DOI: 10.1142/s2010495221500184
Raymond L. Aor, Afees A. Salisu, I. Okpe
{"title":"The effects of U.S. monetary policy uncertainty shock on international equity markets","authors":"Raymond L. Aor, Afees A. Salisu, I. Okpe","doi":"10.1142/s2010495221500184","DOIUrl":"https://doi.org/10.1142/s2010495221500184","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42269604","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
Modeling stock price movements prediction based on news sentiment analysis and deep learning 基于新闻情感分析和深度学习的股价走势预测建模
IF 2
Annals of Financial Economics Pub Date : 2022-01-31 DOI: 10.1142/s2010495222500038
{"title":"Modeling stock price movements prediction based on news sentiment analysis and deep learning","authors":"","doi":"10.1142/s2010495222500038","DOIUrl":"https://doi.org/10.1142/s2010495222500038","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47301472","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 Selected Financial Ratios on Profitability: An Empirical Analysis of Real Estate Firms in Vietnam 选择财务比率对盈利能力的影响:越南房地产企业的实证分析
IF 2
Annals of Financial Economics Pub Date : 2022-01-31 DOI: 10.1142/s2010495222500063
Le Ngoc Doan Trang, Do Thi Thanh Nhan, Dung Nguyen Thi Phuong, W. Wong
{"title":"The Effects of Selected Financial Ratios on Profitability: An Empirical Analysis of Real Estate Firms in Vietnam","authors":"Le Ngoc Doan Trang, Do Thi Thanh Nhan, Dung Nguyen Thi Phuong, W. Wong","doi":"10.1142/s2010495222500063","DOIUrl":"https://doi.org/10.1142/s2010495222500063","url":null,"abstract":"The paper examines the determinants of profitability of real estate companies by using panel data of Vietnamese listed companies on the Hanoi stock exchange (HNX) and Ho Chi Minh City stock exchange (HOSE) from 2007 to 2020. Profitability ratios are measured by return on assets (ROA) and return on equity (ROE). The results indicate that the cost on revenue ratio, debt-to-equity ratio and the crisis and COVID-19 pandemic are negatively correlated with firm profitability. Meanwhile, the sales to current assets ratio, money supply growth rate and economic growth rate (GDPG) provide a positive correlation with profitability. We find that firm size and equity to total assets have positive effects on ROA, while there is a negative relationship between equity to total assets and ROE, and not enough evidence to conclude how firm size affects ROE. The study thereby provides suggestions and recommendations for the administrators of the government, real estate companies and investors in Vietnam. © 2022 World Scientific Publishing Company.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43158245","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
Contagion across Financial Markets during COVID-19: A Look at Volatility Spillovers between the Stock and Foreign Exchange Markets in South Africa 2019冠状病毒病期间金融市场的传染:南非股票和外汇市场波动溢出效应研究
IF 2
Annals of Financial Economics Pub Date : 2022-01-31 DOI: 10.1142/s2010495222500026
Chevaughn van der Westhuizen, R. V. Eyden, G. Aye
{"title":"Contagion across Financial Markets during COVID-19: A Look at Volatility Spillovers between the Stock and Foreign Exchange Markets in South Africa","authors":"Chevaughn van der Westhuizen, R. V. Eyden, G. Aye","doi":"10.1142/s2010495222500026","DOIUrl":"https://doi.org/10.1142/s2010495222500026","url":null,"abstract":"The onset of the novel coronavirus pandemic (COVID-19) and previous financial and currency crises have heightened interest in understanding the nature of the interaction of stock market and exchange rate volatility. This paper aims to investigate the interdependence and volatility transmissions between the stock and foreign exchange markets for South Africa over the period of 1979:01–2021:08, including the effect the COVID-19 pandemic has had on the interdependence and volatility transmissions. Through the use of bivariate Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) modeling, the empirical outcomes from this study provide strong evidence in support of the “stock-orientated” approach, where significant price and volatility spillovers propagate from the stock market into the foreign exchange market, whilst evidence of the “flow-orientated” approach is seen in the second moment and significant shock and asymmetric spillovers from the exchange to stock market are found. The results support the asymmetric and long-range persistence volatility spillover effect and show strong evidence of contagion between stock and foreign exchange markets. These spillovers became more pronounced during the COVID-19 pandemic, confirming heightened contagion in these markets during the periods of crisis. The results heed important implications for not only policymakers who are concerned by the contagion across financial markets and better regulations of these markets to promote economic growth, but also investors and fund managers who seek to hedge investment risks in South Africa.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41578052","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
Symmetric Impact of Exchange Rate Volatility on Foreign Direct Investment in Pakistan: Does the Global Financial Crises and Political Regimes Matter? 汇率波动对巴基斯坦外国直接投资的对称影响：全球金融危机和政治体制重要吗？
IF 2
Annals of Financial Economics Pub Date : 2022-01-31 DOI: 10.1142/s2010495222500075
Muhammad Ramzan
{"title":"Symmetric Impact of Exchange Rate Volatility on Foreign Direct Investment in Pakistan: Does the Global Financial Crises and Political Regimes Matter?","authors":"Muhammad Ramzan","doi":"10.1142/s2010495222500075","DOIUrl":"https://doi.org/10.1142/s2010495222500075","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44122256","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: 13
Impact of COVID-19 on volatility spillovers across international markets: Evidence from VAR asymmetric BEKK GARCH model 新冠肺炎对国际市场波动溢出的影响：来自VAR不对称BEKK-GARCH模型的证据
IF 2
Annals of Financial Economics Pub Date : 2022-01-31 DOI: 10.1142/s201049522250004x
N. Arfaoui, I. Yousaf
{"title":"Impact of COVID-19 on volatility spillovers across international markets: Evidence from VAR asymmetric BEKK GARCH model","authors":"N. Arfaoui, I. Yousaf","doi":"10.1142/s201049522250004x","DOIUrl":"https://doi.org/10.1142/s201049522250004x","url":null,"abstract":"This study contributes to the COVID-19 related literature in finance by examining asymmetric volatility spillover across stock, Bitcoin, gold and oil markets before and during the COVID-19 pandemic. Based on multivariate VAR asymmetric BEKK GARCH model, findings show that the interdependency across the examined markets intensified during the recent health crisis. Moreover, we find that oil market appears as major receivers of volatility spillovers, particularly from gold and stock market which is mostly the results of dramatic collapse of oil prices during the COVID-19 outbreak. We also document that gold exhibits a strong resilience during COVID-19 crisis, suggesting its potential hedging ability during uncertainty. As for asymmetric volatility spillover, findings show the highest sensitivity of oil and Bitcoin markets to gold and US stock markets. Our findings have important implications for investors, portfolio managers and policymakers. © 2022 World Scientific Publishing Company.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42666199","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: 17
MACROECONOMIC DETERMINANTS OF HOUSEHOLD CONSUMPTIONS IN GEORGIA 格鲁吉亚家庭消费的宏观经济决定因素
IF 2
Annals of Financial Economics Pub Date : 2022-01-26 DOI: 10.1142/s2010495221500202
Azer Dilanchiev, Tengiz Taktakishvili
{"title":"MACROECONOMIC DETERMINANTS OF HOUSEHOLD CONSUMPTIONS IN GEORGIA","authors":"Azer Dilanchiev, Tengiz Taktakishvili","doi":"10.1142/s2010495221500202","DOIUrl":"https://doi.org/10.1142/s2010495221500202","url":null,"abstract":"Household consumption and the variables driving it have garnered extensive attention in economic literature. GDP per capita, gross savings, and inflation are among the macroeconomic variables typically considered to affect household spending. The paper examines the effect of these macroeconomic variables on household consumption using the ARDL model. The yearly aggregate data utilized in this analysis spans the period from 1983 to 2018. The paper found a long-run negative relation between household final consumption expenditure and gross domestic saving in the long run. The study showed positive and significant long-run relationships between GDP per capita and household consumption and a significant and negative relationship between savings and household consumption both in the short and long runs.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45548221","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: 30
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