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Preventing crash in stock market: The role of economic policy uncertainty during COVID-19

Dai, Peng-Fei; Xiong, Xiong; Liu, Zhifeng; Sun, Jianjun - In: Financial Innovation 7 (2021) 1, pp. 1-15

COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the …

Persistent link: https://www.econbiz.de/10012602912

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial Innovation 6 (2020) 1, pp. 1-29

The previous studies have shown that capital market integration has increased in the ASEAN-5, implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages. To diversify their portfolios, equity investors must find other...

Persistent link: https://www.econbiz.de/10012602883

Franchise ownership redirection: real options perspective

Nugroho, Lukito Adi - In: Financial Innovation 2 (2016) 11, pp. 1-11

scholars. This study, differing from previous ones, proposes an alternative approach for this hypothesis using a real options … framework with the extension of agency theory. Method: The real options model is built using the least square Monte Carlo method … classical real options call model. This is mainly due to franchise contractual arrangement, where royalty fee lower the …

Persistent link: https://www.econbiz.de/10011808218

Co-movement in crypto-currency markets: Evidences from wavelet analysis

Kumar, Anoop S.; Ajaz, Taufeeq - In: Financial Innovation 5 (2019) 1, pp. 1-17

We study the time varying co-movement patterns of the crypto-currency prices with the help of wavelet-based methods; employing daily bilateral exchange rate of four major crypto-currencies namely Bitcoin, Ethereum, Lite and Dashcoin. First, we identify Bitcoin as potential market leader using...

Persistent link: https://www.econbiz.de/10012602827

How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast

Liu, Lin; Chen, Qiguang - In: Financial Innovation 6 (2020) 1, pp. 1-21

This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process. For...

Persistent link: https://www.econbiz.de/10012602871

Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets

Qarni, Muhammad Owais; Gulzar, Saiqb - In: Financial Innovation 7 (2021) 1, pp. 1-37

This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets. The following methods are applied for the analysis: the spillover index method of Diebold and Yilmaz (Int J Forecast 28(1): 57-66, 2012....

Persistent link: https://www.econbiz.de/10012602898

Derived signals for S & P CNX nifty index futures

Kumar, B. Prasanna - In: Financial Innovation 3 (2017) 20, pp. 1-22

Background: The financial futures market in India is relatively new. The major advantage of derivatives as financial products is that their use minimizes the risks associated with securities. However, hedging effectiveness requires understanding key market signals such as trading margins, credit...

Persistent link: https://www.econbiz.de/10011808253