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Full-Text Articles in Finance and Financial Management
Consumer Sentiment And Indonesia’S Stock Returns, Deepa Bannigidadmath
Consumer Sentiment And Indonesia’S Stock Returns, Deepa Bannigidadmath
Research outputs 2014 to 2021
© Buletin Ekonomi Moneter dan Perbankan 2020. All Rights Reserved. This paper examines whether consumer sentiment predicts the excess returns of the aggregate market and nine industries from the Indonesia equity market. We discover evidence of predictability for three industries; however, the magnitude of predictability are heterogeneous. Some sectors are predictable during expansions, whereas others are only predictable during recessions. There is no evidence of the reversal of the impact of consumer sentiment on stock returns. We conduct several robustness tests that include (i) estimating a predictive regression model with a feasible quasi-generalized least squares–based estimator and (ii) accounting for …
Stochastic Volatility And Garch: Do Squared End-Of-Day Returns Provide Similar Information?, David Edmund Allen
Stochastic Volatility And Garch: Do Squared End-Of-Day Returns Provide Similar Information?, David Edmund Allen
Research outputs 2014 to 2021
The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and STOXX50 indices, sampled at 5-minute intervals, taken from the Oxford Man Realised Library. Both models demonstrate comparable performance and are correlated to a similar extent with the RV estimates, when measured by OLS. However, a crude variant of Corsi’s (2009) Heterogenous Auto-Regressive (HAR) model, applied to squared demeaned daily returns on the indices, appears to predict the daily RV of …
Challenges And Trends In Sustainable Corporate Finance: A Bibliometric Systematic Review, Tad Dat Bui, Mohd Helmi Ali, Feng Ming Tsai, Mohammad Iranmanesh, Ming-Lang Tseng, Ming K. Lim
Challenges And Trends In Sustainable Corporate Finance: A Bibliometric Systematic Review, Tad Dat Bui, Mohd Helmi Ali, Feng Ming Tsai, Mohammad Iranmanesh, Ming-Lang Tseng, Ming K. Lim
Research outputs 2014 to 2021
Sustainable corporate finance is an attractive field of study in sustainability literature; however, the literature lacks systematic bibliometric analysis that provides a comprehensive review to clarify state-of-the-art sustainable corporate finance and that discusses new opportunities and potential instructions for further studies. To address this gap, this study adopts a literature review, bibliometric analysis, network analysis and co-wording technique to systematically investigate the Scopus database. In total, 30 keywords listed at least three times are used and are divided into six clusters considering six fields of research, namely, corporate finance in corporate sustainability, sustainable competitive advantages, sustainable stakeholder engagement, circular economy, …