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Quantitative Finance and Economics
Scopus
ISSN 2573-0134 · AIMS Press · 297 artikel di indeks
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Artikel Jurnal
The asymmetric effects of cross-border equity flow volatility on equity market returns in SANEK countries
We investigated the effects of cross-border equity flow volatility (EFV) on equity market returns (EMR) in SANEK countries (South Africa, Nigeria, Egypt, and Kenya) using the nonlinear autoregressive distributed lag (NARDL) model from 2000Q1 to 2021Q4. This model includes macro-finance variables…
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Evaluating the acceptance of CBDCs: experimental research with artificial intelligence (AI) generated synthetic response
This research examines the factors that influence the public's expectation for more information, acceptance or rejection of central bank digital currencies (CBDC). Using generative AI (ChatGPT 4.0), responses were simulated to mimic CBDC adoption scenarios, considering demographic attributes, such…
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Hedge asset for stock markets: Cryptocurrency, Cryptocurrency Volatility Index (CVI) or Commodity
In order to provide hedging strategies on the financial risks involved in such crises and also taking into consideration that two cryptocurrency prices have been impacted by Russia-Ukraine war uncertainties apart from the COVID-19 pandemic, we applied wavelet analysis along with the multivariate…
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Interest rate sensitivity of traditional, green, and stable cryptocurrencies: A comparative study across market conditions
BackgroundThis study examines the impact of interest rate fluctuations on the returns of traditional, 'green', and 'stable' cryptocurrencies from April 2019 to April 2023. Bitcoin, Cardano, and Tether represent these categories due to their market significance.MethodsUsing quantile regression (QR)…
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Exploration of multiple asset investment opportunities based on pair trading
The financial literature on pair trading shows that Johansen's methodology is the most consistent for finding long-term cointegrated assets. Previous work has either looked for cointegrating relationships of total assets when it was feasible to identify them or has only analyzed pairwise…
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A fractal market perspective on improving futures pricing and optimizing cash-and-carry arbitrage strategies
Traditional futures pricing models, based on the efficient market hypothesis, often fail in today's complex financial markets, leading to significant pricing errors and unreliable arbitrage strategies. This study posits that the fractal market hypothesis (FMH) offers a superior framework by…
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Does policy finance promote domestic industrial gradient relocation? Evidence from China
This study innovatively investigated whether policy finance can facilitate domestic industrial gradient relocation. Building on a theoretical framework and the formulation of research hypotheses, we utilized panel data from China's manufacturing industry across 30 provinces (2014–2023) to…
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Artikel Jurnal
Spillover effects of U.S. business cycle shocks on monetary policy in Pacific Alliance Countries (PAC)
This paper investigated the spillover effects of U.S. structural shocks on the monetary policy of Pacific Alliance (PA) countries. We began by estimating a backward-looking Taylor rule using panel data, incorporating the U.S. output gap and policy rate as external factors to assess the sensitivity…
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New digital infrastructure boosts the inclusive growth of China's economy
Under the dual backdrop of accelerating global digital transformation and pursuing high-quality economic development in China, new digital infrastructure has increasingly emerged as a crucial link connecting technological innovation with social equity, playing a significant role in achieving…
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Banking market structure, lending behavior, and profitability in China
Bank competition is complex because it occurs simultaneously in deposit markets and loan markets. Most governments regulate the banking industry more than other private-sector industries, and some intervene in the banking industry in ways that would be unthinkable in other sectors of the economy…
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Deep learning-based multi-dimensional investor sentiment and stock liquidity: Evidence from China
Investor sentiment has long been recognized as a critical driver of financial market fluctuations and liquidity. However, conventional approaches that rely on aggregated sentiment measures often obscure the intrinsic multidimensional heterogeneity of sentiment, which results in information…
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Artikel Jurnal
Zero-leverage determinants: A study for Portuguese SMEs
This paper contributes to the literature on capital structure by analyzing the determinants of the adoption of zero leverage by Portuguese SMEs. The aim is to assess whether financial constraints, financial flexibility, profitability, and an external shock (COVID-19) affect the likelihood of a…
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Big data and consumer behavior: A macroeconomic perspective through supermarket analytics
This study explores how big data analytics can be used on supermarket transaction data to reveal patterns in consumer behavior with broader macroeconomic implications. Using a comprehensive dataset from a multinational retail chain, we employed advanced analytical methods—including machine learning…
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Market reaction to the announcement of the Summer Olympic Games host. Event study among the stock indices of winners and losers in the years 1984–2032
This paper used an event study to assess whether public information regarding the host of the Summer Olympic Games influenced the national host's stock market. We analysed all events for which the organiser was announced between the years 1978 and 2021, including events from the period 1984–2032…
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The impact of diversification on risk and stability in Asian banks
This study employs system generalized method of moments (GMM) procedures to explore the impact of asset, income, and funding diversification on the stability and risk-taking of Asian banks, using data from 2000 to 2023. The findings showed that agency theory, portfolio theory, trade-off theory, and…
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Artikel Jurnal
The weak-form efficient markets hypothesis: Macroeconomic evidence from MEDA capital markets
In this study, we examined efficient market hypothesis (EMH) in the weak form over the period 2011–2020 for five South-Eastern Mediterranean countries (MEDA), with complete time-series: Egypt, Israel, Jordan, Morocco, and Turkey. Therefore, we contributed to the limited literature on MEDA…
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A comparative analysis of stochastic models for stock price forecasting: The influence of historical data duration and volatility regimes
Accurate stock price forecasting is essential for informed financial decision-making. This study presents a comparative analysis of four foundational stochastic models—Geometric Brownian Motion (GBM), the Heston Stochastic Volatility model, the Merton Jump-Diffusion (MJD) model, and the Stochastic…
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Fund performance—flow relationship for microfinance mutual funds
Mutual funds could contribute to sustainable development by investing in microfinance institutions that provide microloans to microfirms with difficulties accessing financial services, such as loans, savings, and insurance from traditional banks. To increase their assets and support microfinance…
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Climate risk and renewable energy development: the non-linear moderating role of institutional environment
Using a panel smooth transition regression (PSTR) model, this study investigated the nonlinear impacts of climate risk on renewable energy development (RED) under different regimes of institutional environment, covering the panel data of 85 countries over the period of 2000–2022. The results show…
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Artikel Jurnal
Cryptocurrency price prediction and portfolio optimization based on LSTM and multi-task neural network
The precise forecast of cryptocurrency prices is essential for portfolio investment because of their volatility and operability in virtual trading markets, which poses a huge trouble to investors' decision-making ability and investment planning. In this paper, we concentrated on the prediction of…