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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of Risk and Financial Management 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011843238

Modeling and simulating cross country banking contagion risks

Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-16

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...

Persistent link: https://www.econbiz.de/10013201035

Make the best from comparing conventional and Islamic asset classes: A design of an all-seasons combined portfolio

Foglie, Andrea Delle; Pola, Gianni - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-17

This paper aims to contribute to the existing literature in portfolio management and strategy by investigating the performance, diversification, and hedging benefits arising from integrating Sharia-compliant stocks into a conventional portfolio. Thus, this paper tests the performance of a...

Persistent link: https://www.econbiz.de/10013201168

Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Walther, Thomas - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find...

Persistent link: https://www.econbiz.de/10012611007

EU stock markets vs. Germany, UK and US: Analysis of dynamic comovements using time-varying DCCA correlation coefficients

Tilfani, Oussama; Ferreira, Paulo; Dionísio, Andreia … - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-23

For this paper, we dynamically analysed the comovements between three major stock markets-Germany, the UK, and the US-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were...

Persistent link: https://www.econbiz.de/10012611320

Bankruptcy prediction with the use of data envelopment analysis: An empirical study of Slovak businesses

Štefko, Róbert; Horváthová, Jarmila; Mokrišová, … - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-15

compared with the Logit model to determine the reliability of the DEA method. Also, an optimal cut-off point for the ADD model … and Logit model was determined. The main conclusion is that the DEA method is a suitable alternative for predicting the … failure of the analysed sample of businesses. In contrast to the Logit model, its results are independent of any assumptions …

Persistent link: https://www.econbiz.de/10012611423

Crypto-coins and credit risk: Modelling and forecasting their probability of death

Fantazzini, Dean - In: Journal of Risk and Financial Management 15 (2022) 7, pp. 1-34

This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice; alternative forecasting...

Persistent link: https://www.econbiz.de/10014332505

What information in financial statements could be used to predict the risk of equity investment?

Liu, Min - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-24

Theoretically, accounting earnings could be used to estimate the intrinsic value of equity. If accounting earnings could be predicted accurately, then, so could be the value of equity, thereby, creating much less risk in equity investment. However, earnings surprises are common, and therefore so...

Persistent link: https://www.econbiz.de/10013201049

The rich get richer and the poor get poorer: Social media and the post-IPO behavior of investors in biotechnology firms. The relationship with Twitter volume

Siev, Smadar - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-17

This paper analyzes stock returns for biotechnology firms after initial public offering (IPO) and explores the effect of social media-specifically, Twitter-on these returns. The results indicate positive yet insignificant cumulative average abnormal returns (CAARs) of 1.97% in the first 25 days...

Persistent link: https://www.econbiz.de/10013201140

Analyst forecasts during the COVID-19 pandemic: Evidence from REITs

Anglin, Paul M.; Cui, Jianxin; Gao, Yanmin; Zhang, Li - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-23

The COVID-19 pandemic disrupts capital markets and confuses decision makers. This event represents an opportunity to better understand how financial analysts forecast earnings. We focus on forecasts for Real Estate Investment Trusts (REITs) in the United States, since REITs are relatively...

Persistent link: https://www.econbiz.de/10013201141

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