Paper Length: 24 PagesSuplementary Material: 88 Pages (mostly graphics)This paper applies rolling windows to generate time-varying data series of selected chaos measures (i.e. Hurst exponent, maximum Lyapunov exponent, Lyapunov sum and sample entropy). The generated series are analysed to...

The corporate governance foremost is determined by the expected competitive advantage-oriented changes as well as by the modern and effective management techniques that stimulate the sustainable growth.The complex evaluation of the efficiency of corporation performance may be also indicated as...

Repo is used in India as an instrument for monetary policy by institutionalizing daily Liquidity Adjustment Facility (LAF) which allows banks and Primary Dealers to manage their liquidity needs. Liquidity stress in the market has an impact on the short term interest rate. Entities not having...

Structural equation modeling (SEM), an empirical methodology underutilized in archival research, enables empirical researchers to examine paths linking constructs in complex models. Specifically, SEM consists of two components: an empirical measurement model that generates common factors from...

The fast-growing Emerging Market (EM) economies and their improved transparency and liquidity have attracted international investors. However, the external price shocks can result in a higher level of volatility as well as domestic policy instability. Therefore, an efficient risk measure and...

During the past two decades, many countries have embarked on a path of developing their financial markets, strengthening their technological base and stabilizing their economies. This paper finds that financial development and investment in information and communications technology (ICT) have...

We examined the determinants of the U.S. consumer sentiment by applying linear and nonlinear models. The data are monthly from 2009 to 2019, covering a large set of financial and nonfinancial variables related to the stock market, personal income, confidence, education, environment,...

This paper develops a new risk meter specifically for China – FRM@China – to detect systemic financial risk as well as tail-event (TE) dependencies among major financial institutions (FIs). Compared with the CBOE FIX VIX, which is currently the most popular financial risk measure, FRM@China...