Finance Commons^™

Cross-Exchange Crypto Risk: A High-Frequency Dynamic Network Perspective, Yifu Wang, Wanbo Lu, Min-Bin Liu, Rui Ren, Wolfgang Karl Hardle

Sim Kee Boon Institute for Financial Economics

Cross-exchange crypto trading presents inherent risks, particularly for centralized exchanges. Investors observe exacerbating crypto volatility and counterparty risk and would like to quantify these elements of crypto trades. The multiple exchanges require a multivariate view on the structures of risk spillover across exchanges. Here, a Multivariate Heterogeneous AutoRegression (MHAR) model is designed and analyzed, accommodating the stylized facts of crypto markets, including 24/7 trading and the long-memory effect on return variations. The proposed MHAR approach clearly reveals the intensity of interconnectedness among exchanges during extreme events, e.g., the Bitcoin market. Additionally, one observes extremely volatile eigenvector centralities of Futures Exchange …

Bubbly Booms And Welfare, Feng Dong, Yang Jiao, Haoning Sun

Research Collection School Of Economics

We show the competing effects of a housing bubble on the real economy by developing a multi-sector dynamic model with housing production. On the one hand, firms can sell or collateralize their housing, so a housing bubble helps firms obtain credit to finance their investment and expand production. On the other hand, a boom in the housing sector crowds out labor in the non-housing sector. We show that housing booms can reduce social welfare both in the steady state and in the transitional dynamics only when the production externalities in the non-housing sector are sufficiently large. We quantitatively evaluate our …

Can Corporate Sustainability Performance (Csp) Overcome Indonesia's Corporate Debt Problems?, Johnson Ferry Febrian, Nora Sri Hendriyeni

Jurnal Akuntansi dan Keuangan Indonesia

Based on IMF publications (2022), Indonesian companies have a risky debt level that may cause bankruptcy, so companies are required to make leverage adjustments to return the debt to its optimal level. In recent years, corporate sustainability performance (CSP) practices have been proven to improve performance and overcome financial problems such as debt by integrating sustainability aspects into business processes. Based on stakeholder theory and trade-off theory, this study aims to examine the effect of CSP on leverage adjustment and the role of competitive advantage, equity mispricing, profitability, and firm size in moderating this relationship. This study used a sample …

Policy Frameworks And Citizens’ Use Of Fintech Solutions: The Pros And Cons In Egypt, Salma Al-Mohamady

Theses and Dissertations

This thesis provides a comprehensive analysis of the significant influence of financial technology (FinTech) on the banking industry, consumer finance, and economic growth. It specifically concentrates on the swiftly changing FinTech environment in Egypt. The study investigates the impact of incorporating advanced technologies on worldwide financial practices, which has significantly transformed traditional banking models and facilitated the emergence of inventive financial services. The transition is clearly apparent in Egypt, where the expansion of FinTech has been driven by advances in regulations, adaptation to technology, and a population that is becoming more comfortable with digital solutions.

Using a combination of quantitative …

Sustaining Digital Assets Through Mobile Estate Planning, Norliza Katuk, Asvinitha Muniandy, Norazlina Abd. Wahab, Ijaz Ahmad

An-Najah University Journal for Research - B (Humanities)

Many people own online accounts, with some having financial values like Internet banking, e-wallet and cryptocurrency. In the case of sudden death, their heirs are unaware of the digital assets possessed by the deceased person, which causes the assets to be lost forever, and the heirs might not receive the assets. If an estate plan did not account for digital assets properly, the beneficiaries would not be able to access them. Therefore, this paper addresses this issue by implementing a software development approach in designing a suitable model for sustaining digital assets through smartphones to allow the inheritance of digital …

Three Essays Applying Dynamic Models In Economics, Finance, And Machine Learning, Lucas C. Dowiak

Dissertations, Theses, and Capstone Projects

This dissertation is a composition in three parts. Collectively, these essays investigate dynamic methods and their application in the fields of Economics, Finance, and Machine Learning. It pulls liberally from all three. In particular, this dissertation makes repeated use of multi-state modeling frameworks popular in Economics to bring a faceted view to the underlying data and detect its hidden heterogeneity. The challenge of modeling financial assets and estimating their dependence is another focus. For stimulus, concepts in the Machine Learning field are brought in to aid or compete with established econometric techniques.

Econometric Applications of the Hierarchical Mixture-of-Experts

In this …

Empirical Essays On Retail Investors, Institutional Investors, And Anomalies, Yuqing Yang

Dissertations, Theses, and Capstone Projects

This dissertation consists of five chapters on market efficiencies through retail and international mutual fund investors.

Chapter 1 This chapter briefly introduces this dissertation.

Chapter 2 This chapter Anomalies Never Disappeared: The Case of Stubborn Retail Investors delves into the “stubborn” retail investors and finds that anomalies traded against by retail investors never disappear in the long run, defying the conventional wisdom that anomalies are disappearing in recent years as market efficiency improves. Incorporating retail trading, I develop asset pricing models that surpass existing prominent models in explaining these long-run alphas. I hypothesize that retail investors exacerbate anomalies: the more …

An Anthropologist Goes Offshore, Or, Creating An Actor-Network Among Finance Elites, Samuel Weeks, Ma, Phd

College of Humanities and Sciences Faculty Papers

This article discusses the methodological implications of a recent study on Luxembourg’s offshore financial center. Insight from actor-network theory was essential in undertaking its ethnographic research with elites from the country’s state and financial institutions. My intention in documenting this approach is to provide a template for ethnographers studying other localized contexts of global politico-economic significance, in which elite actors usually seek to curtail the enquiries of investigators. With this actor-network from Luxembourg as an example, I demonstrate how elite and difficult-to-access milieus can be entered via “networking” coupled with outreach via interviews and email correspondence. As I show, by …

U.S. International Climate Finance: An Analysis Of Historical Shortfalls And A Proposal For More Equitable Distribution, Maria-Cristina Kealey

Master's Projects and Capstones

Least-developed countries experienced 69% of deaths from climate disasters over the past 50 years despite comprising only 13% of the world’s population. Low-income and climate vulnerable nations around the world are suffering disproportionately as wealthy, high-emitting countries, such as the U.S., profit from the climate crisis. This research provides a comprehensive overview of past U.S. contributions to international climate finance efforts, assesses the climate finance deficit globally and specifically for developing countries, and proposes a more equitable share of U.S. funding from a quantitative and restorative climate justice approach. The primary analyses included quantifying the U.S. share of global greenhouse …

Dreams And Livelihoods In Rural Areas Require Capital, Too: An Investigation Into The Role Of Diminishing Community Banks, Financial Education, And Access To Capital In Rural Areas, Jackson Walton

Finance Undergraduate Honors Theses

Individuals in rural communities face unprecedented economic challenges due to a lack of financial education and a decline in the prevalence of community banks. These problems have continuously grown exponentially without successful attempt at remedy. The community banks that once served as the center of economic activity and prevalence in rural communities are leaving these communities quickly- leaving many without access to lines of credit, personal relationship banking, and without necessary financial education in a world with more financial options than ever. Access to banking and higher financial literacy proficiency rates are almost directly linked to better financial outcomes like …

How To Get Away With Insider Trading And How To Stop It?, Blade H. Kisler

Honors Theses

The realm of investing, while promising, is often clouded by complexity and opacity, exacerbated by the prevalence of insider trading. This unethical practice allows select individuals to amass vast fortunes by exploiting confidential information unavailable to the public. Particularly alarming is the possibility of insider trading within Congress, where lawmakers wield privileged access to non-public information and could possibly engage in lucrative stock transactions. This paper delves into specific coincidences of Congressional stock trading to underscore the systemic nature of this phenomenon among influential figures.

Get Smart About Your Money, Sharonda Singleton Brown, Imani Beverly, Jacquelyn J. Daniel

Georgia Library Quarterly

“Get Smart About Your Money” was an event held at the Atlanta University Center (AUC) Robert W. Woodruff Library for Money Smart Week 2023. The goal of the event was to introduce the new business librarian, promote financial literacy in the Atlanta University Center community, and participate in National Money Smart Week.

Bundling In Advance Sales: Theory And Evidence From Round-Trip Versus Two One-Way Tickets*, Diego Escobari, Paan Jindapon, Nicholas G. Rupp

Economics and Finance Faculty Publications and Presentations

We theoretically derive an optimal price for a bundle of two goods that are sold in advance to risk-averse buyers. The theory predicts that a round-trip ticket is less expensive than two one-way tickets when demands for the outbound and the inbound are uncertain and positively correlated. Using a unique airlines dataset, we find evidence that is consistent with the theory; round-trip bundle discounts exist and they are larger for passengers who buy early in advance, stay on a Saturday night, and have higher valuations. We also find that the bundle discounts decrease with competition.

A Red Awakening: An Analysis Of China’S Quest For Global Dominance Through Economic Alternative Warfare Methods, Sarah Beddingfield

Senior Honors Theses

In the 2023 annual meeting of China’s parliament, Chinese President Xi made it clear to his political leaders and the world that he was preparing for war. This should come as no surprise after analysis of China's grand strategy points clearly to the intent to surpass the U.S. as the premier global superpower in all respects. China has been building towards this goal for years through untraditional methods of warfare, forcing the national security community to reevaluate its own strategy and assess the Chinese threat through a different lens. This thesis seeks to address one specific area in which China …

Jargon To Jackpot: The Financial Impact Of Infusing Pop Culture References In Social Media, Madelynn Solow

Business and Economics Honors Papers

This research explores the impact of incorporating pop culture references in a company's Twitter feed on the company's stock price. Pop culture is integral to people's everyday lives, providing a sense of familiarity and fun between individuals. Many companies have started leveraging pop culture references on social media platforms like Twitter to establish a relatable and engaging connection with diverse consumer demographics. The primary purpose of this research is to investigate whether this strategy is beneficial within the stock market. It is hypothesized that incorporating pop culture references on Twitter can lead to increased sales and higher stock prices, as …

Green Transition And Financial Stability: The Role Of Green Monetary And Macroprudential Policies And Vouchers, Ying Tung Chan, Maria Teresa Punzi, Hong Zhao

Sim Kee Boon Institute for Financial Economics

This paper analyzes a mix of alternative policies in supporting the green transition and the phase-out of fossil fuels, without compromising financial stability. An environmental dynamic stochastic general equilibrium (E-DSGE) model with two sectors (green and brown) and endogenous default is developed to assess potential climate-induced financial stability threats that can be mainly generated through physical and transition risks mechanism. Those risks are evaluated through a compound capital depreciation shock and a carbon tax shock. The paper offers several findings. First of all, a too stringent carbon tax would increase the medium-term default rate in both sectors, harming financial stability …

Did Covid-19 Disrupt The Stock Market Return And Volatility? A Meta-Analytic Approach, Masagus M. Ridhwan, Solikin M. Juhro, Affandi Ismail, Peter Nijkamp, Kelvin Ramadhan Hidayat

Bulletin of Monetary Economics and Banking

We provide a quantitative synthesis of the literature utilizing meta-regression analysis on the measurable effect of the combined health and economic crisis due to the COVID-19 pandemic on stock market returns and volatility. This study is conducted based on 104 studies published during the period 2020 to 2022. We find strong evidence of a negative publication bias for COVID-19 impacts on stock market returns and a positive bias on volatility. We document that COVID-19 has a moderate negative effect on stock market returns. Estimates based on intraday stock returns show a greater effect compared to those using daily returns, whereas …

Capital Expenditure Dynamics In Asean: Unveiling Determinants And The Impact Of The Covid-19 Pandemic On Non-Financial Corporations, Solikin M. Juhro, Dhaha Praviandi Kuantan, Charvin Lim

Bulletin of Monetary Economics and Banking

This study investigates the intricate determinants influencing the capital expenditure behavior of Non-Financial Corporations (NFCs) in major ASEAN countries over the past decade. Employing a fixed effect panel analysis encompassing 1,488 NFCs in Indonesia, Malaysia, Thailand, and the Philippines, our study unveils a robust and statistically significant relationship between corporate financial performance and capital expenditure. Notably, indicators such as profitability, market value, and cash flow rate demonstrate a positive association with heightened capital expenditure. Furthermore, macroeconomic conditions and policy-related variables emerge as influential factors affecting capital expenditure decisions. Stringent financial conditions tend to hamper firm investment decisions, whilst interest rate …

Historical Perspectives In Volatility Forecasting Methods With Machine Learning, Zhiang Qiu, Clemens Kownatzki, Fabien Scalzo, Eun Sang Cha

Seaver College Research And Scholarly Achievement Symposium

Volatility forecasting in the financial market plays a pivotal role across a spectrum of disciplines, such as risk management, option pricing, and market making. However, volatility forecasting is challenging because volatility can only be estimated, and different factors influence volatility, ranging from macroeconomic indicators to investor sentiments. While recent works suggest advances in machine learning and artificial intelligence for volatility forecasting, a comprehensive benchmark of current statistical and learning-based methods for such purposes is lacking. Thus, this paper aims to provide a comprehensive survey of the historical evolution of volatility forecasting with a comparative benchmark of key landmark models. We …

Covid-19 And Its Impact On Multinational Enterprises: A Modified Value At Risk Approach, Kashi Khazeh, Leonard Arvi, Robert C. Winder

Journal of Global Business Insights

Multinational enterprises (MNEs) operating across different currencies are exposed to exchange rate risk. They may utilize a variety of tools to mitigate that risk. While there are different types of exchange rate risk, this study focuses specifically on the ongoing exposure of cash flow transactions denominated in the currencies of seven different developed countries. Since other types of risk (i.e., economic and translation) are evaluated based on yearly results, they are not considered in this study. The modified value-at-risk (MVaR) model is employed to estimate the maximum one-period losses during the eighteen months before the onset of the COVID-19 pandemic …