Uncertainty index and stock volatility prediction: evidence from international markets [0.03%]
不确定性指数与股市波动预测：国际市场的证据
Xue Gong,Weiguo Zhang,Weijun Xu et al.
Xue Gong et al.
This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the international stock markets from a high-frequency perspective. We construct a composite UI based on the scaled principal...
Peter Fratrič,Giovanni Sileno,Sander Klous et al.
Peter Fratrič et al.
Fraudulent actions of a trader or a group of traders can cause substantial disturbance to the market, both directly influencing the price of an asset or indirectly by misinforming other market participants. Such behavior can be a source of ...
Bank loan information and information asymmetry in the stock market: evidence from China [0.03%]
基于银行借贷信息的我国股票市场信息不对称研究
Yanyi Ye,Yun Wang,Xiaoguang Yang
Yanyi Ye
In this study, we use bank loan information to construct proxies for corporate transparency and examine whether these measures reflect information asymmetry in the stock market. Our analysis is based on a novel dataset of stock transactions...
Şirin Özlem,Omer Faruk Tan
Şirin Özlem
This study predicts the cash holdings policy of Turkish firms, given the 20 selected features with machine learning algorithm methods. 211 listed firms in the Borsa Istanbul are analyzed over the period between 2006 and 2019. Multiple linea...
Marcel C Minutolo,Werner Kristjanpoller,Prakash Dheeriya
Marcel C Minutolo
The importance of cryptocurrency to the global economy is increasing steadily, which is evidenced by a total market capitalization of over $2.18T as of December 17, 2021, according to coinmarketcap.com (Coin, 2021). Cryptocurrencies are too...
Introduction of the special issue on COVID-19 and the financial and economic systems [0.03%]
新冠肺炎疫情与金融经济体系专题导语
Paresh Kumar Narayan
Paresh Kumar Narayan
Robust estimation of time-dependent precision matrix with application to the cryptocurrency market [0.03%]
具有应用意义的数字货币市场精度矩阵的时间依赖性稳健估计方法
Paola Stolfi,Mauro Bernardi,Davide Vergni
Paola Stolfi
Most financial signals show time dependency that, combined with noisy and extreme events, poses serious problems in the parameter estimations of statistical models. Moreover, when addressing asset pricing, portfolio selection, and investmen...
A credit scoring model based on the Myers-Briggs type indicator in online peer-to-peer lending [0.03%]
基于迈尔斯-布里格斯性格分类的在线P2P信贷评分模型
Hyunwoo Woo,So Young Sohn
Hyunwoo Woo
Although psychometric features have been considered for alternative credit scoring, they have not yet been applied to peer-to-peer (P2P) lending because such information is not available on platforms. This study proposed an alternative cred...
Can news-based economic sentiment predict bubbles in precious metal markets? [0.03%]
基于新闻的经济情绪能预测贵金属市场的泡沫吗？
Aktham Maghyereh,Hussein Abdoh
Aktham Maghyereh
This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities (gold, silver, palladium, and platinum) from January 1985 to August 2020. It is the first to investigate this topic using s...
Chuan-Hsiang Han,Kun Wang
Chuan-Hsiang Han
Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two m...