International Journal of Financial Engineering最新文献_第7页

Portfolio risk allocation through Shapley value 基于Shapley值的投资组合风险分配

International Journal of Financial Engineering Pub Date : 2023-04-08 DOI: 10.1142/s2424786323500044

Patrick S. Hagan, Andrew Lesniewski, Georgios E. Skoufis, Diana E. Woodward

引用次数: 0

Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model 基于条件偏度GARCH模型特征融合的分布不确定性投资组合优化

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-03-31 DOI: 10.1142/s242478632350007x

Y. Khan, Muneeb Ahmad, M. Ahmad

{"title":"Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model","authors":"Y. Khan, Muneeb Ahmad, M. Ahmad","doi":"10.1142/s242478632350007x","DOIUrl":"https://doi.org/10.1142/s242478632350007x","url":null,"abstract":"In this study, the currency exchange portfolios are optimized by applying an amalgamation of Coskewness and GARCH (1,1) models to ensure conditional skewness based on the GARCH (1,1) model, a new analysis technique is anticipated for the Conditional Skewness in auto-regressive uncertain instability. Applications of Mean–Variance through financial statistics confirm the validation of the projected evaluation process. The conditional skewness dependence on conditional variance is due to the proposed model’s effectiveness with the volatility feedback effect. For the Japanese stocks and the currency exchange rates, conditional risk-minimizing hedge strategies are estimated from July 2000 to June 2020. The empirical results illustrate that the best vibrant hedging strategies can moderately detain the currency rate variations seriously and decrease the currency rate risk by increasing and the portfolios’ risk-adjusted returns. Conditional skewness in the daily post-war Japanese stock returns confirms the importance of the model’s capability to optimize portfolios. All stock and currency exchange return portfolios are positively correlated with each other. Ultimately, our study results present that the exchange rate volatility can be modeled effectively by the GARCH model in a straightforward and uncomplicated method.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48412599","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 impact of contagion effects of media reports, investors’ sentiment and attention on the stock market based on HAR-RV model 基于HAR-RV模型的媒体报道、投资者情绪和注意力的传染效应对股市的影响

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-03-31 DOI: 10.1142/s242478632350010x

Bolin Lei, Yuping Song

{"title":"The impact of contagion effects of media reports, investors’ sentiment and attention on the stock market based on HAR-RV model","authors":"Bolin Lei, Yuping Song","doi":"10.1142/s242478632350010x","DOIUrl":"https://doi.org/10.1142/s242478632350010x","url":null,"abstract":"In this paper, the Shanghai Securities Composite Index and 18 A-share listed companies are used to justify the impact of contagion effects of media reports, investors’ sentiment and attention on stock market. Five indicators are built: The news media optimistic tendency, investors’ attention, investors’ sentiment, investors’ sentiment disagreement and media sentiment disagreement. Furthermore, theoretical models are constructed based on HAR-RV model to analyze the contagion structure between media sentiment and investors’ sentiment and its impact on the performance of stock market. Additionally, the “reverse silence spiral” theory is proposed to analyze the regulatory role of sentiment disagreement in the contagion effects according to the information communication theory. The empirical results demonstrate the following conclusions. (1) The optimism degree of media reports positively affects investors’ subjective sentiment and increases their transaction volume. (2) Strengthening investors’ attention to corporate-related information is the main path by which media sentiment interferes with investors’ sentiment. (3) Media sentiment will indirectly affect the excess return and volatility of stocks through investors’ sentiment and their transactions. (4) Media sentiment disagreement has weakened the influence of media sentiment on investors’ attention and sentiment. Investors’ sentiment disagreement has alleviated its impact on the excess returns and volatility of stocks.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48169876","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

Speculators’ dominance in the Index futures market during COVID-19 新冠肺炎期间投机者在指数期货市场的主导地位

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-03-27 DOI: 10.1142/s2424786323500056

Udayan Karnatak

引用次数: 0

A meshless multiquadric quasi-interpolation method for time fractional Black–Scholes model 时间分数阶Black-Scholes模型的无网格二次拟插值方法

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-03-27 DOI: 10.1142/s2424786323500081

Gaoyongqi Pan, Shengliang Zhang

引用次数: 0

State-space of the Vasicek model for long-term bonds with Kalman filter 带卡尔曼滤波的长期债券Vasicek模型的状态空间

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-03-27 DOI: 10.1142/s2424786322500384

Romeo Mawonike, Dennis Ikpe, S. Gyamerah

引用次数: 0

Does IFRS adoption enhance foreign ownership? Empirical evidence from French listed companies 采用国际财务报告准则是否增强了外资所有权?来自法国上市公司的经验证据

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-03-16 DOI: 10.1142/s2424786323500032

Hela Garrouch

{"title":"Does IFRS adoption enhance foreign ownership? Empirical evidence from French listed companies","authors":"Hela Garrouch","doi":"10.1142/s2424786323500032","DOIUrl":"https://doi.org/10.1142/s2424786323500032","url":null,"abstract":"This paper examines the moderating role of corporate governance mechanisms on the relationship between mandatory international financial reporting standards (IFRS) and foreign investors’ ownership. This study is based on a sample of French firms listed on the SBF 120 stock index with an observation period from 2002 to 2012. The results show that IFRS adoption leads to an increase in foreign equity in the French firms. This is consistent with the idea that international accounting harmonization improves financial statements comparability and transactions transparency which attracts more foreign investors. We also show the role of governance mechanisms as means of IFRS enforcement. In fact, the increase in foreign investors’ ownership depends on effective enforcement. However, for the French case, only BIG four auditors are efficient in enforcing IFRS adoption while independent board members have close relationship with managers which results in a passive attitude. Our findings imply that information quality has an important role in decision making. But they also show that IFRS adoption should be joined by efficient enforcement tools to conduct presumed benefits.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42146669","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

Allocating the tracking error for the multi-asset-class fund by reconciling bottom-up model with top-down model 通过协调自下而上模型和自上而下模型来分配多资产类别基金的跟踪误差

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-03-08 DOI: 10.1142/s2424786323500068

Korkiat Sermsakskul, S. Suchintabandid

引用次数: 0

Market efficiency of energy ETFs: Evidence from USO and UGA 能源ETF的市场效率：来自USO和UGA的证据

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-02-23 DOI: 10.1142/s2424786322500359

Massoud Metghalchi, Peggy A. Cloninger, F. Niroomand

引用次数: 0

MuSu: A medium-term investment strategy by integrating Multifactor model with industrial Supply chain MuSu：一种将多因素模型与产业供应链相结合的中期投资策略