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December 2024, Volume 31, Issue 4
- 799-820 Functional Cointegration Test for Expectation Hypothesis of the Term Structure of Interest Rates in China
by Yizheng Fu & Zhifang Su & Aihua Lin - 821-844 Can Clean Energy Stocks Predict Crude Oil Markets Using Hybrid and Advanced Machine Learning Models?
by Anis Jarboui & Emna Mnif - 845-866 The sovereign Credit Default Swap Spreads and Chinese Sectors Stock Market: A Causality in Quantile and Dependence Analysis
by Huthaifa Alqaralleh - 867-888 An Empirical Investigation on Financing Choice Descendants of Indian Start-ups
by Priyanka Runach & Shubham Garg & Karam Pal Narwal - 889-923 Network Nexus: Exploring the Impact of Alumni Connections of Managers on Mutual Fund Performance in India
by Sudipta Majumdar & Sayantan Kundu & Sankalp Bose & Abhijeet Chandra - 925-944 Identifying Cryptocurrencies as Diversifying Assets and Safe Haven in the Indian Stock Market
by Susovon Jana & Tarak Nath Sahu - 945-974 Anomaly Identification and Premium Mining: Evidence from Chinese Urban Construction Investment Bonds
by Ping Li & Jiahong Li & Dong Wang - 975-1006 Economic Freedom, Ownership Structure, and SME Financial Fragility: Evidence from an Emerging Economy
by Anh-Tuan Doan - 1007-1033 Dynamics of Contagion Risk Among World Markets in Times of Crises: A Financial Network Perspective
by Karim Belcaid & Sara El Aoufi & Mamdouh Abdulaziz Saleh Al-Faryan - 1035-1063 Revisiting China’s Commodity Futures Market Amid the Main Waves of COVID-19 Pandemics
by Xiangyu Chen & Jittima Tongurai & Pattana Boonchoo - 1065-1085 Carry Trade Dynamics Under Capital Controls: The Case of China
by Christopher Balding & Andros Gregoriou & Domenico Tarzia & Xiao Zhang - 1087-1133 The Impacts of Policy Uncertainty on Asset Prices: Evidence from China’s Market
by Yunpeng Su & Jia Li & Baochen Yang & Yunbi An
September 2024, Volume 31, Issue 3
- 423-452 The Impact of Directional Global Economic Policy Uncertainty on Indian Stock Market Volatility: New Evidence
by Aswini Kumar Mishra & Anand Theertha Nakhate & Yash Bagra & Abinash Singh & Bibhu Prasad Kar - 453-472 Value Relevance of Comprehensive Income reported as per IFRS-converged Indian Accounting Standards
by Sushma Vishnani & Nityanand Deva & Dheeraj Misra - 473-495 Nexus Between Indian Economic Growth and Remittance Inflows: A Non-linear ARDL Approach
by Muhammed Ashiq Villanthenkodath & Mohd Arshad Ansari - 497-542 The Effects of Overnight Events on Daytime Return: A Market Microstructure Analysis of Market Quality
by Sreekha Pullaykkodi & Rajesh H. Acharya - 543-577 Expected Power Utility Maximization of Insurers
by Hiroaki Hata & Kazuhiro Yasuda - 579-656 Systemic Risk in Indian Financial Institutions: A Probabilistic Approach
by Subhash Karmakar & Gautam Bandyopadhyay & Jayanta Nath Mukhopadhyay - 657-732 The Asymmetric Effects of Exchange Rate Volatility on Pakistan–Japan Commodity Trade: Evidence from Non-linear ARDL Approach
by Javed Iqbal & Sitara Jabeen & Misbah Nosheen & Mark Wohar - 733-754 Do Carbon Performance and Disclosure Practices Effect Companies’ Financial Performance: A Non-Linear Perspective
by Suchismita Ghosh & Ritu Pareek & Tarak Nath Sahu - 755-778 Reactions of Global Stock Markets to the Russia–Ukraine War: An Empirical Evidence
by Emon Kalyan Chowdhury & Iffat Ishrat Khan - 779-797 Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test
by Ugur Korkut Pata & Ojonugwa Usman & Godwin Olasehinde-Williams & Oktay Ozkan
June 2024, Volume 31, Issue 2
- 205-220 A CNN-LSTM Stock Prediction Model Based on Genetic Algorithm Optimization
by Heon Baek - 221-250 Decomposing the Momentum in the Japanese Stock Market
by Yasuhiro Iwanaga & Takehide Hirose & Tomohiro Yoshida - 251-283 Optimal Currency Portfolio with Implied Return Distribution in the Mean-Variance Approach
by Yuta Hibiki & Takuya Kiriu & Norio Hibiki - 285-305 Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach
by Yi-Hao Lai & Yi-Chiuan Wang & Yu-Ching Chang - 307-334 Performance Attributes of Environmental, Social, and Governance Exchange-Traded Funds
by Hasan F. Baklaci & William I-Wei Cheng & Jianing Zhang - 335-354 Fund Characteristics, Managerial Skills and Performance Persistence: Evidence from India
by Sudipta Majumdar & Rohan Kumar Mishra & Abhijeet Chandra - 355-365 Forecasting of Crude Oil Prices Using Wavelet Decomposition Based Denoising with ARMA Model
by Prabhat Mittal - 367-387 The Impact of Third-Party Financial Products on the Consumer Loan Services Market in the Banking Sector: An Analysis of Sales Progress and Consumer Behavior
by Narendra Singh Ranawat & Ayon Chakraborty - 389-421 PDE-Based Bayesian Inference of CEV Dynamics for Credit Risk in Stock Prices
by Kensuke Kato & Nobuhiro Nakamura
March 2024, Volume 31, Issue 1
- 1-23 Into the Unknown: Uncertainty, Foreboding and Financial Markets
by Smita Roy Trivedi - 25-52 A Dynamic Analysis of the Twin-Deficit Hypothesis: the Case of a Developing Country
by Ibrar Hussain & Umar Hayat & Md Shabbir Alam & Uzma Khan - 53-80 Does Market Performance (Tobin’s Q) Have A Negative Effect On Credit Ratings? Evidence From South Korea
by Hyoung-Joo Lim & Dafydd Mali - 81-99 Entropy Augmented Asset Pricing Model: Study on Indian Stock Market
by Harshit Mishra & Parama Barai - 101-135 The Relationship Between Financial Knowledge, Investment Strategy and Satisfaction From Pension Schemes: Evidence From India
by Shallu Saini & Tejinder Sharma & Satyanarayana Parayitam - 137-164 Covid-19 Data Manipulation and Reaction of Stock Markets
by Monika Bolek & Cezary Bolek - 165-181 Economic Policy Uncertainty and Emerging Stock Market Volatility
by Maria Ghani & Usman Ghani - 183-203 Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries
by Muntazir Hussain & Usman Bashir & Ramiz Ur Rehman
December 2023, Volume 30, Issue 4
- 649-675 Impact of India’s Demonetization Episode on its Equity Markets
by Goutam Sutar & Krantiraditya Dhalmahapatra & Sayan Chakraborty - 677-699 An ISM and MICMAC Approach for Modelling the Contributors of Multibagger Stocks
by Ajay Chauhan & Swati Gupta & Sanjay Gupta - 701-727 Inclusions and Exclusions of Stocks in Cross-Border Investments: The Case of Stock Connect
by Kin Ming Wong & Kwok Ping Tsang - 729-760 Media Coverage, Real Earnings Management, and Long-Run Market Performance: Evidence from Chinese IPOs
by Danning Yu - 761-794 How Serious is India’s Nonperforming Assets Crisis? A Structural Satellite Version of the Financial-Macroeconometric Model
by Nithin Mani & Alok Kumar Mishra & Jijin Pandikasala - 795-816 Does G7 Engross the Shock of COVID 19: An Assessment with Market Volatility?
by Nupur Moni Das & Bhabani Sankar Rout & Yashmin Khatun - 817-844 Multi-period Dynamic Bond Portfolio Optimization Utilizing a Stochastic Interest Rate Model
by Yoshiyuki Shimai & Naoki Makimoto - 845-867 Industry Competition, Market Shares, and the Long-Run Performance of SEO Firms
by Weiju Young & Junming Hsu & Peng-Yu Gao & Tzu-Ju Yang
September 2023, Volume 30, Issue 3
- 445-456 Comparing Financial Debt Choices of Existing and New SMEs in Indian Manufacturing Sector
by KG Suresh & Akanksha Saxena & M. Srikanth - 457-473 Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach
by Nidhal Mgadmi & Azza Béjaoui & Wajdi Moussa - 475-504 Multi-scale Features of Interdependence Between Oil Prices and Stock Prices
by Ngo Thai Hung & Xuan Vinh Vo - 505-530 Forecast the Role of GCC Financial Stress on Oil Market and GCC Financial Markets Using Convolutional Neural Networks
by Taicir Mezghani & Mouna Boujelbène Abbes - 531-558 Board Variables Reforms in India: Success or Failure? A Comparative Analysis Between Pre and Post Enactment Period of Companies Act, 2013
by Mahesh Chand Garg & Khushboo Tanwer - 559-585 Effect of Index Concentration on Index Volatility and Performance
by Amit Pandey & Anil Kumar Sharma - 587-620 Insurance Market and Economic Growth in an Information-Driven Economy: Evidence from a Panel of High- and Middle-Income Countries?
by Rudra P. Pradhan & Sahar Bahmani & Rebecca Abraham & John H. Hall - 621-647 Exchange Rate Risk Management using Currency Derivatives: The Case of Exposures to Japanese Yen
by Sung C. Bae & Taek Ho Kwon
June 2023, Volume 30, Issue 2
- 273-296 Control Variate Method for Deep BSDE Solver Using Weak Approximation
by Yoshifumi Tsuchida - 297-322 Best-Case Scenario Robust Portfolio: Evidence from China Stock Market
by Kaiqiang An & Guiyu Zhao & Jinjun Li & Jingsong Tian & Lihua Wang & Liang Xian & Chen Chen - 323-337 Is the Growth of Companies Influencing Their Financial Condition Depending on Their Size: S&P 500 Listed Companies Example
by Monika Bolek & Agata Gniadkowska-Szymańska - 339-362 FDI Inflows-Economic Globalization Nexus in ASEAN Countries: The Panel Bootstrap Causality Test Based on Wavelet Decomposition
by Muhammed Sehid Gorus & Veli Yilanci & Maxwell Kongkuah - 363-385 Measuring Dependence in a Set of Asset Returns
by Dilip B. Madan & King Wang - 387-426 Does Remittance and Human Capital Formation Affect Financial Development? A Comparative Analysis Between India and China
by Shreya Pal - 427-444 Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective
by Miklesh Prasad Yadav & Sudhi Sharma & Indira Bhardwaj
March 2023, Volume 30, Issue 1
- 1-12 Innovative Financial Instruments and Investors’ Interest in Indian Securities Markets
by Pradiptarathi Panda - 13-36 Optimizing Hedging Effectiveness of Indian Agricultural Commodity Futures: A Simulation Approach
by Sanjay Mansabdar & Hussain C. Yaganti - 37-48 Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India
by Veeravel. V & A. Balakrishnan - 49-72 A Study of Investment Style Timing of Mutual Funds in India
by S. Pavithra & Parthajit Kayal - 73-107 Did ESG Save the Day? Evidence From India During the COVID-19 Crisis
by Ved Dilip Beloskar & S. V. D. Nageswara Rao - 109-130 Stock returns seasonality in emerging asian markets
by Khushboo Aggarwal & Mithilesh Kumar Jha - 131-164 Nexus Between Indian Financial Markets and Macro-economic Shocks: A VAR Approach
by Prabhas Kumar Rath - 165-188 Investment Performance and Tracking Efficiency of Indian Equity Exchange Traded Funds
by L. Alamelu & Nisha Goyal - 189-210 Is Cross-Hedging Effective for Mitigating Equity Investment Risks in the Indian Banking Sector?
by Babu Jose & Nithin Jose - 211-230 The Stock Performance of Green Bond Issuers During COVID-19 Pandemic: The Case of China
by Jiongye Jin & Jianing Zhang - 231-246 The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model
by Muneer Shaik & Mohd Ziaur Rehman - 247-258 Market Efficiency of Commodity Derivatives with Reference to Nonagricultural Commodities
by Hema Divya Kantamaneni & Vasudeva Reddy Asi - 259-272 Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR
by Babita Panda & Ajaya Kumar Panda & Pradiptarathi Panda
December 2022, Volume 29, Issue 4
- 605-629 Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets
by Paramita Mukherjee & Sweta Tiwari - 631-649 An Analysis of Determinants of Foreign Direct Investment in Banking Industry from Taiwan to ASEAN Countries with Gravity Model
by Hsiao-I Pan & Komsan Suriya & Pathairat Pastpipatkul - 651-673 COVID-19 Vaccination Effect on Stock Market and Death Rate in India
by Jyotirmayee Behera & Ajit Kumar Pasayat & Harekrushna Behera - 675-696 Continuous-Time Portfolio Optimization for Absolute Return Funds
by Masashi Ieda - 697-734 Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period
by Sanjay Kumar Rout & Hrushikesh Mallick - 735-766 Comparing Cost Efficiency Between Financial and Non-financial Holding Banks and Insurers in Taiwan Under the Framework of Copula Methods and Metafrontier
by Tai-Hsin Huang & Yi-Chun Lin & Kuo-Jui Huang & Yu-Wei Liao
September 2022, Volume 29, Issue 3
- 381-409 Algorithmic Trading Efficiency and its Impact on Market-Quality
by Ritesh Kumar Dubey & A. Sarath Babu & Rajneesh Ranjan Jha & Urvashi Varma - 411-447 Indonesia’s Financial Markets and Monetary Policy Dynamics Amid the COVID-19 Pandemic
by Eric Alexander Sugandi - 449-476 Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market
by Rajesh Elangovan & Francis Gnanasekar Irudayasamy & Satyanarayana Parayitam - 477-505 Bank Performance and Noninterest Income: Evidence from Countries in the Asian Region
by Sherika Antao & Ajit Karnik - 507-526 A Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data
by Sakae Oya - 527-568 Short Term Stress of Covid-19 on World Major Stock Indices
by Muhammad Rehan & Jahanzaib Alvi & Süleyman Serdar Karaca - 569-603 The Impact of the Real Interest Rate, the Exchange Rate and Political Stability on Foreign Direct Investment Inflows: A Comparative Analysis of G7 and GCC Countries
by Faris Alshubiri
June 2022, Volume 29, Issue 2
- 139-170 Information Quality and the Expected Rate of Return: A Structural Equation Modelling Approach
by Max Schreder & Pawel Bilinski - 171-193 Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan
by Jiro Hodoshima & Toshiyuki Yamawake - 195-220 Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)
by Mona Mortazian - 221-252 Corporate Social Responsibility: Is Too Much Bad?—Evidence from India
by Ved Dilip Beloskar & S. V. D. Nageswara Rao - 253-289 Optimal Pair–Trade Execution with Generalized Cross–Impact
by Masamitsu Ohnishi & Makoto Shimoshimizu - 291-325 Shareholder Disputes and Commonality in Liquidity: Evidence from the Equity Markets in China
by Mu-Shun Wang - 327-355 Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis
by Mehmet Asutay & Yumeng Wang & Alija Avdukic - 357-379 Both Sensitive Value Measure and its Applications
by Yoshio Miyahara
March 2022, Volume 29, Issue 1
- 1-3 Green and Sustainable Finance in the Asia-Pacific Markets: An Introduction to the Special Issue
by Toan Luu Duc Huynh & Thomas Walther & Sebastian Utz - 5-32 Values-Based and Global Systemically Important Banks: Their Stability and the Impact of Regulatory Changes After the Financial Crisis on it
by Theresa Schäfer & Sebastian Utz - 33-78 Foreign Direct Investments, Renewable Electricity Output, and Ecological Footprints: Do Financial Globalization Facilitate Renewable Energy Transition and Environmental Welfare in Bangladesh?
by Muntasir Murshed & Mohamed Elheddad & Rizwan Ahmed & Mohga Bassim & Ei Thuzar Than - 79-93 Energy Consumption and Bitcoin Market
by Anh Ngoc Quang Huynh & Duy Duong & Tobias Burggraf & Hien Thi Thu Luong & Nam Huu Bui - 95-95 Correction to: Energy Consumption and Bitcoin Market
by Anh Ngoc Quang Huynh & Duy Duong & Tobias Burggraf & Hien Thi Thu Luong & Nam Huu Bui - 97-122 Does ESG Certification Improve Price Efficiency in the Chinese Stock Market?
by Chunying Wu & Xiong Xiong & Ya Gao - 123-137 Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test
by Yongjie Zhang & Yue Li & Dehua Shen
December 2021, Volume 28, Issue 4
- 469-497 Is Being “Robust” Beneficial? A Perspective from the Indian Market
by Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty - 499-526 Frontier Markets, Liberalization and Informational Efficiency: Evidence from Vietnam
by Cesario Mateus & Bao Trung Hoang - 527-561 The Relationship Between China’s Real Estate Market and Industrial Metals Futures Market: Evidence from Non-price Measures of the Real Estate Market
by Xiangyu Chen & Jittima Tongurai - 563-585 Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests
by Teruo Kemmotsu - 587-611 Applying Technical Trading Rules to Beat Long-Term Investing: Evidence from Asian Markets
by Thomas S. Coe & Kittipong Laosethakul - 613-647 Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries
by Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon - 649-665 Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic
by Mike K. P. So & Lupe S. H. Chan & Amanda M. Y. Chu - 667-689 Stocks Recommendation from Large Datasets Using Important Company and Economic Indicators
by Kartikay Gupta & Niladri Chatterjee
September 2021, Volume 28, Issue 3
- 333-352 Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics
by João Cruz & João Nicolau & Paulo M. M. Rodrigues - 353-366 Index Future Trading and Spot Market Volatility in Frontier Markets: Evidence from Ho Chi Minh Stock Exchange
by Loc Dong Truong & Anh Thi Kim Nguyen & Dut Van Vo - 367-396 Evaluating Financial System Stability Using Heatmap from Aggregate Financial Stability Index with Change Point Analysis Approach
by Apriliani Gustiana & Nasrudin - 397-427 Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis
by Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang - 429-448 Directional Spillover Effects Between BRICS Stock Markets and Economic Policy Uncertainty
by Ngo Thai Hung - 449-467 The Short-Selling Hypothesis of Weekend Effect and T + 1 Trading Mechanism
by Xiao Li & Bin Liu
June 2021, Volume 28, Issue 2
- 153-168 On Hoover’s Scale-Free Forecast Accuracy Metric MAD/MEAN
by Louie Ren & Peter Ren - 169-206 Risk-Sensitive Asset Management with Lognormal Interest Rates
by Hiroaki Hata - 207-241 Managerial Ability and External Financing
by Min-Rui Choo & Chih-Wei Wang & Chi Yin & Jie-Lun Li - 243-271 Impact of Market Expectations on the U.S. Interest Rate Lift-Off in ASEAN-5 Financial System
by Teik-Khim Ooi & Wee-Yeap Lau - 273-303 Imposing Regularity Conditions to Measure Banks’ Productivity Changes in Taiwan Using a Stochastic Approach
by Tai-Hsin Huang & Yi-Huang Chiu & Chih-Ying Mao - 305-318 Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market
by Dehua Shen & Wei Zhang - 319-332 Political Stability and the Effectiveness of Currency Based Macro Prudential Measures
by Smita Roy Trivedi
March 2021, Volume 28, Issue 1
- 1-2 Forwarding Letter for Capital Markets Conference Special Issue
by Pradiptarathi Panda - 3-17 Financial Astrology and Behavioral Bias: Evidence from India
by Ashish Mahendra & Shiba Prasad Mohanty & S. Sudalaimuthu - 19-53 Comparative Study of Momentum and Contrarian Behavior of Different Investors: Evidence from the Indian Market
by Bhaskar Chhimwal & Varadraj Bapat - 55-78 Beta-Anomaly: Evidence from the Indian Equity Market
by Asgar Ali & K. N. Badhani - 79-99 Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market
by Geetu Aggarwal & Navdeep Aggarwal - 101-119 Size Effect in Indian Equity Market: Myth or Reality?
by Vibhuti Vasishth & Sanjay Sehgal & Gagan Sharma - 121-140 Predicting Wheat Futures Prices in India
by Raushan Kumar - 141-151 Does The Association Between Abnormal Trading Volumes And Historical Prices Explain Disposition Effect?
by Sravani Bharandev & Sapar Narayan Rao
December 2020, Volume 27, Issue 4
- 453-476 Speed of Price Adjustment in Indian Stock Market: A Paradox
by Parthajit Kayal & Sayanti Mondal - 477-520 Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
by Olivier Courtois & Xiaoshan Su - 521-536 Do Fund Investors Consider Asset Returns? Substitute Relation Among Investment Funds in Korea
by Young-Min Kim - 537-585 Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market
by Maurice Omane-Adjepong & Imhotep Paul Alagidede - 587-603 Determinants of Capital Structure: Insights from Japanese Private Firms
by Naheed Rabbani - 605-619 Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India
by Biswabhusan Bhuyan & Subhamitra Patra & Ranjan Kumar Bhuian - 621-632 A Text Mining Model to Evaluate Firms’ ESG Activities: An Application for Japanese Firms
by Takuya Kiriu & Masatoshi Nozaki
September 2020, Volume 27, Issue 3
- 325-342 Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping
by Katsuya Ito & Ryuta Sakemoto - 343-361 The Impact of Institutional Shareholdings on Price Limits
by Manhwa Wu & Paoyu Huang & Yensen Ni - 363-386 Volatility and Specific Risk Toward Family’s Performance in an Emerging Country
by Kien S. Nguyen - 387-414 Volatility Flocking by Cucker–Smale Mechanism in Financial Markets
by Hyeong-Ohk Bae & Seung-Yeal Ha & Yongsik Kim & Hyuncheul Lim & Jane Yoo - 415-425 US Economic Policy Uncertainty and GCC Stock Market
by Abdullah Alqahtani & Miguel Martinez - 427-437 Trend of Commodity Prices and Exchange Rate in Australian Economy: Time Varying Parameter Model Approach
by Debasish Roy & Ramaprasad Bhar - 439-452 Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market
by Xiong Xiong & Chen Wang & Dehua Shen
June 2020, Volume 27, Issue 2
- 155-174 Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan
by Jiro Hodoshima & Tetsuya Misawa & Yoshio Miyahara - 175-192 Economics Performance Under Endogenous Knowledge Spillovers
by Mohamad Alghamdi - 193-212 Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection
by Yoshio Miyahara - 213-230 The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market?
by Xingjian Zheng & Dehua Shen - 231-255 Health Care Investment: The Case of Multiple Sources of Risk
by Octave Jokung & Sovan Mitra - 257-289 Does a Unique Solution Exist for a Nonlinear Rational Expectation Equation with Zero Lower Bound?
by Takashi Tamura - 291-323 Does Marginal VaR Lead to Improved Performance of Managed Portfolios: A Study of S&P BSE 100 and S&P BSE 200
by Shrey Jain & Siddhartha P. Chakrabarty
March 2020, Volume 27, Issue 1
- 1-33 Market Closures and Cross-sectional Stock Returns
by Kotaro Miwa - 35-59 Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model
by Katsushi Nakajima - 61-81 The Profitability in the FTSE 100 Index: A New Markov Chain Approach
by Flavio Ivo Riedlinger & João Nicolau - 83-95 Hedging Derivatives on Two Assets with Model Risk
by Koichi Matsumoto & Keita Shimizu - 97-113 Investor Sentiment and the Return Rate of P2P Lending Platform
by Wei Zhang & Yingxiu Zhao & Pengfei Wang & Dehua Shen - 115-144 Capturing the Order Imbalance with Hidden Markov Model: A Case of SET50 and KOSPI50
by Polin Wu & Wasin Siwasarit - 145-154 Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study
by Tetsuya Takaishi & Takanori Adachi
December 2019, Volume 26, Issue 4
- 409-427 Modeling Trading Behavior in the Japanese Stock Market During QE Tapering and Post-QE Exit
by Wee-Yeap Lau & Tien-Ming Yip - 429-451 Financial Markets Development and Financing Choice of Firms: New Evidence from Asia
by Inder Sekhar Yadav & Debasis Pahi & Rajesh Gangakhedkar - 453-477 Multifactor Portfolio Construction by Factor Risk Parity Strategies: An Empirical Comparison of Global Stock Markets
by Hidehiko Shimizu & Takayuki Shiohama - 479-493 Stylized Facts of the Indian Stock Market
by Rituparna Sen & Manavathi Subramaniam - 495-528 Incorporating Realized Quarticity into a Realized Stochastic Volatility Model
by Didit Budi Nugroho & Takayuki Morimoto - 529-552 Analysis of Price Differences Between A and H Shares
by Y. Bai & W. M. Tang & K. F. C. Yiu - 553-565 A Numerical Scheme for Expectations with First Hitting Time to Smooth Boundary
by Yuji Hishida & Yuta Ishigaki & Toshiki Okumura
September 2019, Volume 26, Issue 3
- 285-295 Earnings Management, Capital Management and Signalling Behaviour of Indian Banks
by Sushma Vishnani & Sonu Agarwal & Ritika Agarwalla & Saumya Gupta - 297-337 Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach
by Kiyohiko G. Nishimura & Seisho Sato & Akihiko Takahashi - 339-354 Asset Pricing Test Using Alternative Sets of Portfolios: Evidence from India
by Sudipta Das - 355-364 Hyperbolic Symmetrization of Heston Type Diffusion
by Yuuki Ida & Tsuyoshi Kinoshita - 365-389 On Discrete Probability Approximations for Transaction Cost Problems
by Nabeel Butt - 391-408 Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs
by Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi
June 2019, Volume 26, Issue 2
- 129-168 Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models
by Shan Lu - 169-185 An Analytic Market Condition for Mutual Fund Separation: Demand for the Non-Sharpe Ratio Maximizing Portfolio
by Toru Igarashi - 187-209 Market Conditions and Calendar Anomalies in Japanese Stock Returns
by Mostafa Saidur Rahim Khan & Naheed Rabbani - 211-227 Cross Hedging Using Prediction Error Weather Derivatives for Loss of Solar Output Prediction Errors in Electricity Market
by Takuji Matsumoto & Yuji Yamada - 229-252 Large Shareholding and Firm Value in the Alternative Investment Market (AIM)
by Mona Mortazian & Seyedeh Asieh H. Tabaghdehi & Bryan Mase - 253-284 Demystifying Yield Spread on Corporate Bonds Trades in India
by Kedar nath Mukherjee
March 2019, Volume 26, Issue 1
- 1-21 Stock Futures of a Flawed Market Index
by Kotaro Miwa - 23-45 Re-examination of Fama–French Models in the Korean Stock Market
by Serge Rugwiro & SungSup Brian Choi - 47-60 Asset Prices and Changes in Risk within a Bivariate Model
by Octave Jokung & Sovan Mitra - 61-85 Firm Value and the Impact of Operational Management
by Sovan Mitra & Andreas Karathanasopoulos - 87-106 Spatial-Temporal Modelling of Temperature for Pricing Temperature Index Insurance
by Che Mohd Imran Che Taib & Mukminah Darus - 107-126 In search of robust methods for multi-currency portfolio construction by value at risk
by Mei-Ling Tang & Trung K. Do - 127-127 Correction to: Some Further Results on the Tempered Multistable Approach
by Olivier Courtois
December 2018, Volume 25, Issue 4
- 267-284 The Effects of Firm-Level Investability Sizes on Foreign Ownership in Indonesian Public Firms
by Dezie L. Warganegara - 285-323 The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia
by Noureddine Benlagha & Wael Hemrit - 325-340 A New Measure of Control-Cash Flow Deviation: Cases in Taiwan
by Pei-Gi Shu & Sue-Jane Chiang & Man-Yin Chen - 341-352 Applying Time Series Decomposition to Construct Index-Tracking Portfolio
by Jun Nakayama & Daisuke Yokouchi
September 2018, Volume 25, Issue 3
- 159-177 Information-Based Model with Noisy Anticipation and Its Application in Finance
by Kirati Thoednithi - 179-220 Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market
by Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino - 221-247 Industry Concentration, Firm Efficiency and Average Stock Returns: Evidence from Australia
by Thu A. T. Pham - 249-265 An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market
by Doha Belimam & Yong Tan & Ghizlane Lakhnati
June 2018, Volume 25, Issue 2
- 71-86 Success Factors of Financial Derivatives Markets in Asia
by Trin Sittisawad & Pariyada Sukcharoensin - 87-109 Some Further Results on the Tempered Multistable Approach
by Olivier Courtois - 111-136 Information Uncertainty and Momentum Phenomenon Amidst Market Swings: Evidence From the Chinese Class A Share Market
by Yuan Wu & Taufiq Choudhry - 137-157 Dynamic Causality Between Stock Return and Exchange Rate: Is Stock-Oriented Hypothesis More Relevant in Malaysia?
by Wee-Yeap Lau & You-How Go
March 2018, Volume 25, Issue 1
- 1-21 Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints
by Yuji Yamada & James A. Primbs