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Filiz, Ibrahim; Judek, Jan René; Lorenz, Marco; … - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-27

Technological progress in recent years has made new methods available for making forecasts in a variety of areas. We examine the success of ex-ante stock market forecasts of three major stock market indices, i.e., the German Stock Market Index (DAX), the Dow Jones Industrial Index (DJI), and the...

Persistent link: https://www.econbiz.de/10012799168

Algorithm aversion as an obstacle in the establishment of Robo advisors

Filiz, Ibrahim; Judek, Jan René; Lorenz, Marco; … - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

Within the framework of a laboratory experiment, we examine to what extent algorithm aversion acts as an obstacle in the establishment of robo advisors. The subjects had to complete diversification tasks. They could either do this themselves or they could delegate them to a robo advisor. The...

Persistent link: https://www.econbiz.de/10013380483

Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)

Zhang, Hang; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-42

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was...

Persistent link: https://www.econbiz.de/10013164975

The dynamic relationship between investor attention and stock market volatility : international evidence

Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...

Persistent link: https://www.econbiz.de/10012821063

Covid-19 and Islamic stock index : evidence of market behavior and volatility persistence

Saleem, Adil; Bárczi, Judit; Sági, Judit - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-22

The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market's reaction and changes in volatility before and during this pandemic. The market model of event...

Persistent link: https://www.econbiz.de/10012627110

Effects of IPO offer price ranges on initial subscription, initial turnover and ownership structure : evidence from Indian ipo market

Sandhu, Harsimran; Guhathakurta, Kousik - In: Journal of risk and financial management : JRFM 13 (2020) 11/279, pp. 1-19

In this paper, we establish the significance and effects of initial public offer (IPO) offer price ranges on subscription, initial trading, and post-IPO ownership structures. The primary market in India provides a unique setting for estimating the effect of various initial public offer (IPO)...

Persistent link: https://www.econbiz.de/10012388745

Estimating the risk of financial distress using a multi-layered governance criterion : insights from Middle Eastern and North African banks

Gerged, Ali Meftah; Marie, Mohamed; Elbendary, Israa - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-22

In this study, we explored the association of bank-level governance and state-level governance with the likelihood of banks' financial distress in developing economies. Using a panel data sample of 954 bank-year observations of 106 conventional banks across 14 Middle Eastern and North African...

Persistent link: https://www.econbiz.de/10014284346

On the risk spillover from Bitcoin to Altcoins : the fear of missing out and pump-and-dump scheme effects

Balcilar, Mehmet; Ozdemir, Huseyin - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-15

This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the disaggregate level. We apply a frequency connectedness approach to the daily data of 11 major cryptocurrencies for the period from 1 September 2017 to 2 March 2022. We try to...

Persistent link: https://www.econbiz.de/10014289747

Herding trend in working capital management practices : evidence from the non-financial sector of Pakistan

Farooq, Umar; Tabash, Mosab I.; Al-Naimi, Ahmad A.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-14

Working capital management requires careful attention from corporate managers because it plays an important role in corporate stability. The social belongingness of managers induced them to learn from their society, colleagues, and overall industrial movement. They also learn from their peers...

Persistent link: https://www.econbiz.de/10014305590

Influence of the emotion of fear on patterns of consumer behavior toward dietary supplements during the COVID-19 pandemic

Vuković, Dijana; Jurič, Boris; Krnjak, Iva - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-24

The focus of this paper is placed on the role of emotions in consumer behavior, specifically in the process of …, decision-making and the impact of emotions on it, while the empirical research portion of this paper details the attitudes of … consumers who buy food supplements, the role and importance of different emotions that have a greater or a lesser impact on the …

Persistent link: https://www.econbiz.de/10013273625

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