This paper aims to construct a bi-directional, financial liberalization index for Pakistan by considering various financial policy indicators (reforms). This study, by employing the principal component analysis method over a period of 1980-2018 (39 years), aims to determine the composite outcome...

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

Neural networks are well suited to predict future results of time series for various data types. This paper proposes a hybrid neural network model to describe the results of the database of the New York Stock Exchange (NYSE). This hybrid model brings together a self organizing map (SOM) with a...

This paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a statistically negative association between EPU and hedge...

The COVID-19 pandemic has been shown dire consequences for the global economy, not only in the past and present but also in the future. These consequences are not only humanitarian but also financial and economic. This article raises the question of whether the state of the health system is a...

Since Barnett derived the user cost price of money, the economic theory of monetary services aggregation has been developed and extended into a field of its own with solid foundations in microeconomic theory. Divisia monetary aggregates have repeatedly been shown to be strictly preferable to...

We present an empirical study of the Aumann-Serrano performance index for multi-period gambles when the underlying stochastic process is assumed to be a normal mixture process with time-varying volatility. We compare the Aumann-Serrano performance index for multi-period gambles with that for...

This study examines the reaction of the Standard and Poor's Regional Bank Index (SPRB) to the U.S. equity market fear index (i.e., the Chicago Board of Trade Volatility Index [VIX]). The VIX is designed to perform as a leading indicator of the volatility in equity markets. However, practitioners...

As investment increases in capital projects, financial risks increase, and cash flow prediction and control become more paramount. Higher risks could hinder project performance and increase the chances of failure in multiple aspects of a project. While there are models that aim to assess and...

The real estate sector has emerged as the bedrock of the Gulf Cooperation Council (GCC) economies, and it has remained resilient despite the various unprecedented micro- and macro-economic shocks devouring the world’s economies. However, wavering investor attitudes and minimal exposure to real...