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International Journal of Financial Engineering最新文献

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Impact of social networking sites (SNSs) on stock market: Review, synthesis and direction for future research 社交网站（SNS）对股市的影响：回顾、综述和未来研究方向
International Journal of Financial Engineering Pub Date : 2024-02-03 DOI: 10.1142/s2424786323310011
M. Haque, Md. Shamim Hossain, Suraiea Akter Lucky
{"title":"Impact of social networking sites (SNSs) on stock market: Review, synthesis and direction for future research","authors":"M. Haque, Md. Shamim Hossain, Suraiea Akter Lucky","doi":"10.1142/s2424786323310011","DOIUrl":"https://doi.org/10.1142/s2424786323310011","url":null,"abstract":"Social networking sites (SNSs) provide a platform for disseminating different types of information, including stock market information. Many studies in the literature discuss the influence of social media on the stock market. However, little effort has been made in the past to present a literature review. This exploratory study aims to review the literature on social media and the stock market published from 2004 to 2018 and present insights and directions for future research. The study collects data from Scopus and ISI Web of Science databases and subjectively selects 126 papers, and conducts metadata analysis. In addition, the selected papers were analyzed to present the insights and classifications of the literature based on content analysis. This review classified the selected papers into different domains: reaction (e.g., investor behavior, market behavior, corporate governance and financial performance), data analysis techniques (mathematical, econometric models, data and text mining), and application of pre-established models. It identifies influential authors, top journals, top contributing nations, top contributing institutions, top citations, most used words, top publishers and contributions by fields. It develops a framework showing how the information of SNSs is disseminated, processed and responded to. It also finds that most of the paper outcomes support online social media as important information dissemination platforms for investment decisions in the stock market. The study will offer a novel opportunity for future assessment and contribution to the behavioral finance literature.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"23 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139867885","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 foreign direct investment cause economic growth in India? An econometric analysis 外国直接投资会促进印度经济增长吗？计量经济学分析
International Journal of Financial Engineering Pub Date : 2024-02-03 DOI: 10.1142/s2424786323500652
Ranjeet Kumar
{"title":"Does foreign direct investment cause economic growth in India? An econometric analysis","authors":"Ranjeet Kumar","doi":"10.1142/s2424786323500652","DOIUrl":"https://doi.org/10.1142/s2424786323500652","url":null,"abstract":"With the lack of finance, many developing nations are struggling for investment in several areas to generate an opportunity for sustainable livelihood, and Foreign Direct Investment (FDI) emerged as an engine of economic growth, especially in developing nations. It helps to strengthen the economy by mainly promoting capital inflow and technical improvement into the recipient economies. However, some literatures found economic growth, responsible for the inflow of FDI. Therefore, this paper attempts to examine the causal relationship between FDI and Economic Growth in India. By running the Granger causality test in VECM settings, this study found, GDP causes inflow of FDI in India.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"17 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139867465","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
Derivation of discrete analog of Breeden–Litzenberger relation for risk-neutral density 风险中性密度的布里登-利岑伯格离散类似关系的推导
International Journal of Financial Engineering Pub Date : 2024-02-03 DOI: 10.1142/s2424786323500615
Abhimanyu Kumar
{"title":"Derivation of discrete analog of Breeden–Litzenberger relation for risk-neutral density","authors":"Abhimanyu Kumar","doi":"10.1142/s2424786323500615","DOIUrl":"https://doi.org/10.1142/s2424786323500615","url":null,"abstract":"This short paper derives a formula for the risk-neutral density function at discrete points over the strike range using Abel’s summation formula in terms of the arbitrage-free call price function in a European option contingent. The estimate of risk-neutral density is crucial from a risk management perspective and other crucial assessments.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"50 11","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139868116","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 foreign direct investment cause economic growth in India? An econometric analysis 外国直接投资会促进印度经济增长吗？计量经济学分析
International Journal of Financial Engineering Pub Date : 2024-02-03 DOI: 10.1142/s2424786323500652
Ranjeet Kumar
{"title":"Does foreign direct investment cause economic growth in India? An econometric analysis","authors":"Ranjeet Kumar","doi":"10.1142/s2424786323500652","DOIUrl":"https://doi.org/10.1142/s2424786323500652","url":null,"abstract":"With the lack of finance, many developing nations are struggling for investment in several areas to generate an opportunity for sustainable livelihood, and Foreign Direct Investment (FDI) emerged as an engine of economic growth, especially in developing nations. It helps to strengthen the economy by mainly promoting capital inflow and technical improvement into the recipient economies. However, some literatures found economic growth, responsible for the inflow of FDI. Therefore, this paper attempts to examine the causal relationship between FDI and Economic Growth in India. By running the Granger causality test in VECM settings, this study found, GDP causes inflow of FDI in India.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"515 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139807802","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
Payment banks — A new milestone for banking penetration in India 支付银行--印度银行业渗透率的新里程碑
International Journal of Financial Engineering Pub Date : 2024-02-03 DOI: 10.1142/s2424786323500627
C. Paramasivan, G. Ravichandiran
{"title":"Payment banks — A new milestone for banking penetration in India","authors":"C. Paramasivan, G. Ravichandiran","doi":"10.1142/s2424786323500627","DOIUrl":"https://doi.org/10.1142/s2424786323500627","url":null,"abstract":"The purpose of the banking sector in the country is to provide banking services to all the people with a simple and easy manner with this view, PMJDY was introduced in 2014 to provide bank account to unbanked people free of cost and with simplification of KYC norms. All the incentives and monetary benefits to the targeted people will reach only through direct benefit transfer scheme which is linked with bank account and Aadhar. Banks also concentrate on urban and unbanked areas through single window banking and post office savings bank scheme. With this view, payment banks play a key role in banking penetration in the country. This paper made an attempt to discuss performance of payment banks with respect to financial performance.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"24 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139867873","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
Accounting quality and countries institutional characteristics: Evidence from multinational firms 会计质量与国家制度特征：来自跨国公司的证据
International Journal of Financial Engineering Pub Date : 2024-01-05 DOI: 10.1142/s2424786323500640
Nizar Berrim, Imen Ghadhab, Hamza Nizar
{"title":"Accounting quality and countries institutional characteristics: Evidence from multinational firms","authors":"Nizar Berrim, Imen Ghadhab, Hamza Nizar","doi":"10.1142/s2424786323500640","DOIUrl":"https://doi.org/10.1142/s2424786323500640","url":null,"abstract":"This paper investigates the dynamics of cross-listing in the US and accounting quality. Using an unbalanced panel of 11,780 observations for the period 2000–2019, we show that cross-listing improves accounting quality (in terms of conservatism, earnings management and informational relevance). This result holds for both types of cross-listing (i.e., exchange and OTC listing). Moreover, taking institutional variables into account leads to the conclusion that companies from countries with a weak legal and informational environment have better accounting quality following compliance with the strict standards of shareholder protection and disclosure of information imposed by US authorities. Finally, a complementary analysis shows us that companies listed in the US benefit from a better accounting quality record and less investment inefficiency. This explains why cross-listing in the US reduces the inefficiency of investments thanks to better accounting quality.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"16 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139383984","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
Are VaR models effective in capturing downside risk in alternative investment funds? Insights from a cross-country study VaR 模型能否有效捕捉另类投资基金的下行风险？跨国研究的启示
International Journal of Financial Engineering Pub Date : 2024-01-03 DOI: 10.1142/s2424786323500445
Amrit Panda, S. G. Deb
{"title":"Are VaR models effective in capturing downside risk in alternative investment funds? Insights from a cross-country study","authors":"Amrit Panda, S. G. Deb","doi":"10.1142/s2424786323500445","DOIUrl":"https://doi.org/10.1142/s2424786323500445","url":null,"abstract":"In this paper, we analyze the downside risk of alternative investment funds (AIFs) in a cross-country setting over a period of 2015–2021, using popular Value-at-Risk (VaR henceforth) models, and test the efficacy of such models in capturing the volatility posed by these funds. We estimate VaR in the presence of three error distributions, including normal distribution, Student’s t distribution, and GED distribution. Using weekly return data of 991 AIFs from 28 countries, over the period 2015–2021, we find that most of the funds, irrespective of country representation, exhibited a significant proportion of their weekly returns to be negative. To statistically validate our findings we use three backtesting approaches, i.e., Jorion’s failure rate, Kupiec’s proportion of failure (POF) tests and Christoffersen’s independence test. Our findings indicate the presence of significant downside risk for AIFs, which these popular VaR models are unable to capture. These findings highlight the need for investors and fund managers to be cautious when relying solely on popular VaR models to manage downside risk in AIF and suggest that further research is needed to develop more effective risk management strategies for AIF, particularly in light of their complex structure and asymmetric return distributions.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"91 19","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139388077","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 the COVID-19 pandemic strengthen the volatility spillovers across global stock markets? COVID-19 大流行是否加强了全球股市的波动溢出效应？
International Journal of Financial Engineering Pub Date : 2023-12-29 DOI: 10.1142/s2424786323500433
Yuqin Zhou, Shan Wu, Zhenhua Liu
{"title":"Does the COVID-19 pandemic strengthen the volatility spillovers across global stock markets?","authors":"Yuqin Zhou, Shan Wu, Zhenhua Liu","doi":"10.1142/s2424786323500433","DOIUrl":"https://doi.org/10.1142/s2424786323500433","url":null,"abstract":"This paper investigates the volatility spillover and connectedness among the stock markets of G7, BRICS countries, and other countries where COVID-19 is more severe. For this investigation, we perform static and rolling-window analysis to measure volatility spillovers using the spillover index approach and LASSO-VAR for estimating high-dimensional VARs. We also examine the network connectedness at different periods. Our findings indicate that the recent COVID-19 pandemic intensifies volatility spillovers, supporting the financial contagion effects. Furthermore, the United States, Spain, and Russia markets are net volatility transmitters for most of the period before and during the COVID-19 pandemic.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":" 10","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139142707","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
Interaction between price discovery, market liquidity and arbitrage activity: International evidence 价格发现、市场流动性和套利活动之间的相互作用：国际证据
International Journal of Financial Engineering Pub Date : 2023-12-29 DOI: 10.1142/s2424786323500561
Hayfa Gabsi, Houssam Bouzgarrou, Imen Ghadhab
{"title":"Interaction between price discovery, market liquidity and arbitrage activity: International evidence","authors":"Hayfa Gabsi, Houssam Bouzgarrou, Imen Ghadhab","doi":"10.1142/s2424786323500561","DOIUrl":"https://doi.org/10.1142/s2424786323500561","url":null,"abstract":"The aim of this study is to investigate the dynamic of price discovery for cross-listed stocks using high-frequency intraday data. We show that the local market leads price discovery process with a significant contribution of the foreign US market. Moreover, we find that arbitrage opportunities enhance market liquidity of cross-listed firms, and vice versa. A higher US market contribution to price discovery provides an increase in the local trading volume as well as in arbitrage opportunities frequency. This latter leads to greater local market contribution to price discovery confirming the information-based transactions in the domestic markets of US cross-listed firms.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":" 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139143128","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 the COVID-19 outbreak affect dynamic co-movement among the stock markets of China, Japan, and the USA? COVID-19 的爆发是否会影响中国、日本和美国股市之间的动态共同运动？
International Journal of Financial Engineering Pub Date : 2023-12-29 DOI: 10.1142/s2424786323500639
Haoyu Li
{"title":"Does the COVID-19 outbreak affect dynamic co-movement among the stock markets of China, Japan, and the USA?","authors":"Haoyu Li","doi":"10.1142/s2424786323500639","DOIUrl":"https://doi.org/10.1142/s2424786323500639","url":null,"abstract":"The research examines the effect of the COVID-19 outbreak on the dynamic co-movement of the stock markets of China, Japan, and the USA using a VAR model and a DCC-GJR-GARCH model. Especially, this study focuses on during and preceding the COVID period. This study data period extends from 1 January 2016 to 31 April 2022. The results demonstrate that COVID-19’s effect increases stock market volatility. Meanwhile, the VAR model revealed that the USA’s exogeneity was greater during COVID-19. In addition, the pre-crisis Granger Causality between China–USA and Japan–China is substantially higher than during the crisis. The findings of DCC-GJR-GARCH indicate the presence of volatility clustering in each of the stock markets. Moreover, the results suggest that the time-varying correlations between China and the USA during the pre-COVID period are greater than during the COVID period. The study’s findings highlight that investors attempting to increase investment diversification opportunities worldwide should always consider dynamic co-movement in different periods to maximize returns and minimize risk.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":" 9","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139143383","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
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