Quantitative Finance and Economics最新文献

Assessing intellectual capital performance of banks during COVID-19: Evidence from China and Pakistan COVID-19期间银行智力资本绩效评估:来自中国和巴基斯坦的证据

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023017

Jian Xu, M. Haris, M. Irfan

引用次数: 0

Wavelet-based systematic risk estimation for GCC stock markets and impact of the embargo on the Qatar case 基于小波的海合会股票市场系统风险估计及禁运对卡塔尔案例的影响

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023015

A. Mabrouk, Sabrine Arfaoui, Mohamed Essaied Hamrita

引用次数: 0

Accelerated American option pricing with deep neural networks 基于深度神经网络的美式期权加速定价

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023011

David Anderson, Urban Ulrych

引用次数: 3

The risk-return relationship and volatility feedback in South Africa: a comparative analysis of the parametric and nonparametric Bayesian approach 南非的风险回报关系与波动反馈:参数贝叶斯方法与非参数贝叶斯方法的比较分析

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023007

Nitesha Dwarika

{"title":"The risk-return relationship and volatility feedback in South Africa: a comparative analysis of the parametric and nonparametric Bayesian approach","authors":"Nitesha Dwarika","doi":"10.3934/qfe.2023007","DOIUrl":"https://doi.org/10.3934/qfe.2023007","url":null,"abstract":"This study aimed to investigate the risk-return relationship, provided volatility feedback was taken into account, in the South African market. Volatility feedback, a stronger measure of volatility, was treated as an important source of asymmetry in the investigation of the risk-return relationship. This study analyzed the JSE ALSI excess returns and realized variance for the sample period from 15 October 2009 to 15 October 2019. This study modelled the novel and robust Bayesian approach in a parametric and nonparametric framework. A parametric model has modelling assumptions, such as normality, and a finite sample space. A nonparametric approach relaxes modelling assumptions and allows for an infinite sample space; thus, taking into account every possible asymmetric risk-return relationship. Given that South Africa is an emerging market, which is subject to higher levels of volatility, the presence of volatility feedback was expected to be more pronounced. However, contrary to expectations, the test results from both the parametric and nonparametric Bayesian model showed that volatility feedback had an insignificant effect in the South African market. The risk-return relationship was then investigated free from empirical distortions that resulted from volatility feedback. The parametric Bayesian model found a positive risk-return relationship, in line with traditional theoretical expectations. However, the nonparametric Bayesian model found no relationship between risk and return, in line with early South African studies. Since the nonparametric Bayesian approach is more robust than the parametric Bayesian approach, this study concluded that there is no risk-return relationship. Therefore, investors can include South Africa in their investment portfolio with higher risk countries in order to spread their risk and derive diversification benefits. In addition, risk averse investors can find a safe environment within the South African market and earn a return in accordance to their risk tolerance.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70231495","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

Does industrialization trigger carbon emissions through energy consumption? Evidence from OPEC countries and high industrialised countries 工业化是否通过能源消耗引发碳排放?来自欧佩克国家和高工业化国家的证据

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023009

Ayodele Idowu, Obaika M. Ohikhuare, Munem Ahmad Chowdhury

{"title":"Does industrialization trigger carbon emissions through energy consumption? Evidence from OPEC countries and high industrialised countries","authors":"Ayodele Idowu, Obaika M. Ohikhuare, Munem Ahmad Chowdhury","doi":"10.3934/qfe.2023009","DOIUrl":"https://doi.org/10.3934/qfe.2023009","url":null,"abstract":"This study investigated the effect of Industrialization on carbon emissions through energy consumption for a panel of eight Organization of the Petroleum Exporting Countries (OPEC) and nine High Industrialised Countries over the period 1985 to 2020; the study employs the first generation and second-generation Unit root tests. The study further adopts the use of the Panel Autoregressive Distributed Lag Model, and Common Correlated Effect pooled mean group to estimate the parameters of the model for OPEC countries and High Industrialised Countries, respectively. In addition, the Dumitrescu-Hurlin Granger causality test is conducted to infer the direction of causality among the variables. The causality test result reveals that, in OPEC, energy consumed during industrial activity is not enough to cause carbon emission and carbon emission does not cause industrialisation to interact with energy consumption. Also, for highly industrialised countries, interaction of energy consumption and industrialization causes carbon emission, but carbon emission does not cause the interaction of energy consumption and industrialization. The estimated model shows that the interactive effect of Industrialization and energy consumption has no significant influence on carbon emissions in OPEC countries in the short and long run. In contrast, foreign direct investment and economic growth have a positive and significant effect on carbon emissions in the short run. However, for highly industrialised countries the study found that the interactive effect of energy industrialization and energy consumption has a positive and significant effect on carbon emissions in the short run. It is apparent from the study that energy consumption for industrial activities, particularly in highly industrialised countries, causes carbon emission and such policy makers should formulate policy that necessitate the use of green energy for industrial activities to improve environmental quality.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70231301","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

Stock returns and inflation expectations: Evidence from 20 major countries 股票收益和通胀预期:来自20个主要国家的证据

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023027

Thomas C. Chiang

引用次数: 0

Measuring provincial digital finance development efficiency based on stochastic frontier model 基于随机前沿模型的省级数字金融发展效率测度

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023021

Guang Liu, Hong Yi, Haonan Liang

{"title":"Measuring provincial digital finance development efficiency based on stochastic frontier model","authors":"Guang Liu, Hong Yi, Haonan Liang","doi":"10.3934/qfe.2023021","DOIUrl":"https://doi.org/10.3934/qfe.2023021","url":null,"abstract":"Effective development of digital finance is vital to closing the regional economic disparities. This study aims at investigating the efficiency of digital finance development in China and its implications for closing regional economic disparities. Using the stochastic frontier model, we estimate the development efficiency of digital finance in 31 provinces in China from 2011 to 2020, and reveal their characteristics of temporal evolution and spatial distribution. The results show that the efficiency of digital finance development in each province shows a tendency to increase quickly first and then slowly decline. The provinces with a higher level of digital finance development always have higher development efficiency at the beginning of the sample period, which then declines rapidly after reaching the maximum, and even less than the national average value at the end of the period, with significant regional disparities observed. The provinces with a higher level of digital finance development always have higher development efficiency at the beginning of the sample period, which then declines rapidly after reaching the maximum, and even less than the national average value at the end of the period. The imbalance of development efficiency among different provinces is increasing, and the potential for development efficiency in the central and western regions is relatively greater. These findings have important implications for promoting high-quality economic development and common prosperity in China. In the future, we should continually prevent the development efficiency of digital finance to decline rapidly in all provinces (especially in the eastern region), and strive constantly to bridge the gap of development efficiency among different province, so as to provide a better surrounding for promoting high-quality economic development and common prosperity.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70231733","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

Topological variability in financial markets 金融市场的拓扑变异性

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023019

Aaron D. Valdivia

引用次数: 0

The investors' prospects on mandatory auditor rotation: evidence from Euronext Lisbon 投资者对强制性审计师轮岗的前景:来自里斯本泛欧交易所的证据

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023022

Tânia Menezes Montenegro, Pedro Meira, Sónia Silva

{"title":"The investors' prospects on mandatory auditor rotation: evidence from Euronext Lisbon","authors":"Tânia Menezes Montenegro, Pedro Meira, Sónia Silva","doi":"10.3934/qfe.2023022","DOIUrl":"https://doi.org/10.3934/qfe.2023022","url":null,"abstract":"<abstract> <p>The costs and benefits of mandatory auditor rotation (audit firm rotation and partner rotation) are far from being conclusive. This paper helps fill this gap in the literature by examining the relationship between mandatory auditor rotation and firms' stock market performance in the Portuguese context. Using a sample of listed companies in Portugal from 2009 to 2020, the main finding indicates that mandatory audit firm rotation is positively and significantly related to the firm's market performance. The evidence gathered suggests investors perceive mandatory audit firm rotation as a mechanism for improving audit quality. Controlling for the engagement partner rotation, we do not find that the rotation rule has a positive effect on firms' market performance. The net benefits of the mandatory audit rotation rule seem to be driven by the mandatory change of the audit firm, with improvements in market perceptions of earnings. Robustness tests suggest that the signal and significance of the association of firms' market performance and mandatory audit firm rotation holds in the presence of corporate governance mechanisms. Also, the audit experience of the departing and incoming partners does not interact with the relationship between mandatory partner rotation and firms' market performance.</p> </abstract>","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135445766","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

Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock market 波动状况和多空异常的周末效应:来自美国股市的证据

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023016

Wenhui Li, N. Nor, Hisham M, Feng Min

引用次数: 0