Annals of Financial Economics (AFE)

2005 - 2024

Current editor(s): Michael McAleer

From World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

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Volume 19, issue 03, 2024

Generalized Stochastic Integration and Financial Modeling pp. 1-14

Christos Floros, Konstantinos Gkillas and Christos Kountzakis

Does Bitcoin Add Any Value To The Investment Portfolios In Emerging Markets? A Case From Tehran Stock Exchange pp. 1-23

Hossein Dastkhan and Hossein Saber

Market Fear and Emerging Market Returns: Analyzing the Impacts of VIX and Dollar Index pp. 1-22

Abbas Valadkhani and Barry O’Mahony

Could Regressing a Stationary Series on a Non-Stationary Series Obtain Meaningful Outcomes? pp. 1-16

Wing-Keung Wong and Mu Yue

Deposit Insurance Modeling Based on Standard Power Option Payoff Using Picard–Lindelöf Iteration pp. 1-16

S. O. Edeki and V. E. Azu-Nwosu

A Quantile Dependence among Exchange Rate, Stock Prices and Oil Prices: An Empirical Evidence from India pp. 1-21

Salem Hamad Aldawsari, Wei Shuen Tan, Tarek Abbas Elsherazy, Bisharat Hussain Chang, Haitham M. Alzoubi and Ivana Ognjanović

Volume 19, issue 02, 2024

Realized Stock Market Volatility of the United States: The Role of Employee Sentiment pp. 1-21

Rangan Gupta, Savanah Hall and Christian Pierdzioch

CAPM in Real World: Risk-Friendly Investments pp. 1-11

Christos Floros, Christos Kountzakis and Moawia Alghalith

Epidemiological and Health Insurance Models for a Communicable Disease pp. 1-46

C. I. Nkeki and E. H. Iroh

Modeling Chilean Long-Term Swap Yields Based on the Short-Term Interest Rate: A Garch Approach pp. 1-25

Tanweer Akram and Khawaja Mamun

Greenhouse Gas Emissions and the Rising Effects of Renewable Energy Consumption and Climate Risk Development Finance: Evidence from BRICS Countries pp. 1-34

Bisharat Hussain Chang, P. A. Mary Auxilia, Akash Kalra, Wing-Keung Wong and Mohammed Ahmar Uddin

Interest Rate Forecasting with Principal Component Analysis Based on Long-Run Covariance Matrix pp. 1-50

Hugo Hissinaga and Márcio Laurini

Volume 19, issue 01, 2024

Unconditional Volatility Framework: Theoretical and Empirical Insights pp. 1-30

Sebastian Rey

Factors Affecting the Crude Oil Prices Volatility: A Case Study of the USA, China, Japan, Germany and India pp. 1-26

Alia Ajmal, Chaudhry Abdullah Imran Sahi, Wing-Keung -Wong, Ramzan Ali and Abid Rasheed

Pandemic Fallout: Analyzing the Impact of COVID-19 on Taiwan’s Hotel Stocks pp. 1-29

Ahmad Fraz, Arshad Hassan, Shoaib Ali and Vincent Shin-Hung Pan

The Nexus Between Energy Demand and Currency Valuation: Evidence from Selected OECD Countries pp. 1-23

Bisharat Hussain Chang, Haitham M. Alzoubi, Asma Salman, Ali Gohar Chang, Mohammed Ahmar Uddin and Jameel Ahmed Khan

Globalization — Inequality Nexus in the US and UK: A Multi-Dimensional Perspective pp. 1-24

Emmanuel Uche, Torcia-Chanelle Banengai Koyama and Nicholas Ngepah

Volume 18, issue 04, 2023

How Do Remittance Inflows Cause the Dutch Disease in the Financial Sector? The Role of Financial Risk and Human Capital pp. 1-28

Zeeshan Khan, Syed Muhammad Faraz Raza, Kangyin Dong and Ilham Haouas

The Emerging Stock Markets and Their Asymmetric Response to Infectious Disease Equity Market Volatility (ID-EMV) Index pp. 1-22

Asma Salman, Bisharat Hussain Chang, Muthanna G. Abdul Razzaq, Wing-Keung Wong and Mohammed Ahmar Uddin

Exploring the Complementary and Nonlinear Effects of Financial Development and ICT on Inclusive Growth in South Asia pp. 1-22

Laila Khalid, Farhat Rasul and Nabila Asghar

The Co-Movement between Emerging Stock Markets Using DCC-GARCH Model: Evidence from GCC and Amman Stock Exchange pp. 1-35

Ali Matar

How Justice Is Our Energy Future? Assessing the Impact of Green Finance on Energy Justice in China pp. 1-29

Senmiao Yang, Jianda Wang, Kangyin Dong and Farhad Taghizadeh-Hesary

The Impact of an Increase in Bank Competition on Export Product Quality: Evidence from China pp. 1-29

Chengcheng Tu and Xiaohui Xu

Volume 18, issue 03, 2023

Market Capitalized Scale and Corporate Capital Structure — Evidence from CSI300’s Listed Firms pp. 1-23

Huu Manh Nguyen, Wing Keung Wong and Thi Huong Giang Vuong

Does Trade Openness Affect Global Entrepreneurship Development? Evidence from BRICS Countries pp. 1-33

Md. Mominur Rahman, Bishawjit Chandra Deb, Muhammad Shajib Rahman, M. M. Mofiz Uddin, Muhammad Ramzan, Mohammad Jubair Hossain and Gias Uddin

Dynamics of a Newly Established Agricultural Commodities Market: Financialization, Hedging and Portfolio Diversification in Turkey pp. 1-33

Turker Acikgoz, Ozge Sezgin Alp and Nazlan Belemir Alkan

Innovation, Economic Growth, and Inequalities: A Panel Dynamic Threshold Analysis for Dynamic Economies pp. 1-29

Sabreen Khan and Dil Pazir

From Humble Beginnings to a Global Economic Powerhouse: A Comprehensive Study of India’s Economic Development Through the Lens of Selected Macroeconomic Indicators (1990–2020) pp. 1-42

Rachana Jaiswal

Potential Welfare Gains from Optimal Macro Hedging for Oil Exporters pp. 1-22

Ricardo Lalloo

Volume 18, issue 02, 2023

The Impact of Macroeconomic Indicators on the Balance of Payments: Empirical Evidence from Afghanistan pp. 1-29

Abdul Hadi Sultani and U. Faisal

Does US Infectious Disease Equity Market Volatility Index Predict G7 Stock Returns? Evidence Beyond Symmetry pp. 1-16

Raheel Gohar, Asma Salman, Emmanuel Uche, Omer Faruk Derindag and Bisharat Hussain Chang

The Asymmetric Effect of the Extreme Changes in the Economic Policy Uncertainty on the Exchange Rates: Evidence from Emerging Seven Countries pp. 1-24

Alina Maydybura, Raheel Gohar, Asma Salman, Wing-Keung Wong and Bisharat Hussain Chang

Spillover Effects in the Presence of Structural Breaks, Persistence and Conditioned Heteroscedasticity pp. 1-51

Francisca Mendonça Souza, Claudia Aline de Souza Ramser, Adriano Mendonça Souza and Claudimar Pereira da Veiga

An Analysis of the U.S. Individual Investor Sentiment Influence on Cryptocurrency Returns and Volatility pp. 1-20

Mustafa Sayim and Nguyen Quang My

Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realized Volatility pp. 1-14

Sisa Shiba, Juncal Cunado, Rangan Gupta and Samrat Goswami

Volume 18, issue 01, 2023

Financial Development and Income Inequality: Evidence From Advanced, Emerging and Developing Economies pp. 1-27

Carolyn Chisadza and Mduduzi Biyase

Nonlinear Causal Relationship Between Economic Policy Uncertainty and Macroeconomic Variables in Selected Emerging Market Economies pp. 1-34

Abigail Naa Korkor Adjei, George Tweneboah and Peterson Owusu Junior

Density and Risk Prediction with Non-Gaussian COMFORT Models pp. 1-37

Marc S. Paolella and Paweł Polak

On the Predictive Value of the (Shadow) Real Interest Rate for the Realized Volatility of Gold-Price Returns pp. 1-16

Christian Pierdzioch, Sebastian Rohloff and Roland Von Campe

The Mean-Variance Rule for Investors with Reverse S-Shaped Utility pp. 1-16

Wing-Keung Wong, David Yeung and Richard Lu

Editorial: Statement for the Special Issue in Honor of Michael McAleer pp. 1-8

David Allen, Moawia Alghalith and Wing-Keung Wong

Ten Ways to Specify a Gini Coefficient Using Entropy pp. 1-19

Hang Keun Ryu and Daniel Slottje

An Informational Theory of the Dynamic Value of the Firm pp. 1-22

David Yeung and Wing-Keung Wong

Drawbacks in the 3-Factor Approach of Fama and French (2018) pp. 1-26

David Allen and Michael McAleer

Volume 17, issue 04, 2022

IS THERE A BETA ANOMALY? EVIDENCE FROM THE INDIA pp. 1-20

Vinay Khandelwal and Varun Chotia

CONNECTEDNESS BETWEEN CRUDE OIL AND US EQUITIES: THE IMPACT OF THE COVID-19 PANDEMIC pp. 1-30

Aktham Maghyereh and Hussein Abdoh

DELINEATION OF BLOCKCHAIN TECHNOLOGY IN FINANCE: A SCIENTOMETRIC VIEW pp. 1-26

Rachana Jaiswal, Shashank Gupta and Aviral Tiwari

TIME-FREQUENCY CO-MOVEMENT BETWEEN COVID-19 AND PAKISTAN’S STOCK MARKET: EMPIRICAL EVIDENCE FROM WAVELET COHERENCE ANALYSIS pp. 1-17

Shoaib Ali, Muhammad Naveed, Aisha Saleem and Muhammad Wajahat Nasir

INVESTMENT BASED ON SIZE, VALUE, MOMENTUM AND INCOME MEASURES: A STUDY IN THE TAIWAN STOCK MARKET pp. 1-33

Richard Lu, Jai-Jen Wang and Wing-Keung Wong

DO THE INCOME AND PRICE CHANGES AFFECT CONSUMPTION IN THE EMERGING 7 COUNTRIES? EMPIRICAL EVIDENCE USING QUANTILE ARDL MODEL pp. 1-24

Raheel Gohar, Salim Bagadeem, Bisharat Hussain Chang and Muyu Zong

Volume 17, issue 03, 2022

CAUSALITY, INFORMATION FLOW, AND CO-MOVEMENT ANALYSIS OF MAJOR STOCK INDICES pp. 1-21

Cengiz Karatas and Gazanfer Unal

DYNAMIC LINKAGES AND INTEGRATION AMONG FIVE EMERGING BRICS MARKETS: PRE- AND POST-BRICS PERIOD ANALYSIS pp. 1-36

Amit Kumar Singh, Rohit Kumar Shrivastav and Amiya Kumar Mohapatra

THE IMPACTS OF DATA-DRIVEN LEADERSHIP IN IR4.0 ADOPTION ON FIRM PERFORMANCE IN MALAYSIA pp. 1-36

Char-Lee Lok, Shu-Fen Chuah and Chee-Wooi Hooy

IMPACT OF ECONOMIC FREEDOM AND ITS SUBCOMPONENTS ON COMMERCIAL BANKS’ RISK-TAKING pp. 1-30

Faisal Abbas, Shoaib Ali and Wing-Keung Wong

DOES PREMIUM EXIST IN THE STOCK MARKET FOR LABOR INCOME GROWTH RATE? A SIX-FACTOR-ASSET-PRICING MODEL: EVIDENCE FROM PAKISTAN pp. 1-24

Naveed Khan, Hassan Zada and Imran Yousaf

A LINKAGE BETWEEN THE FINANCIAL AND THE REAL ECONOMY pp. 1-33

Sebastian Rey

Volume 17, issue 02, 2022

TIME–FREQUENCY ANALYSIS BETWEEN ECONOMIC RISK AND FINANCIAL RISK IN THE MINT NATIONS: WHAT CAUSES WHAT? pp. 1-21

Tomiwa Adebayo, Dervis Kirikkaleli and Husam Rjoub

ASYMMETRIC DEPENDENCE BETWEEN EXCHANGE RATE AND COMMODITY PRICES IN GHANA pp. 1-26

Christina Archer, Peterson Owusu Junior, Anokye M. Adam, Emmanuel Asafo-Adjei and Stephen Baffoe

THE NEXUS BETWEEN CASH CONVERSION CYCLE, WORKING CAPITAL FINANCE, AND FIRM PERFORMANCE: EVIDENCE FROM NOVEL MACHINE LEARNING APPROACHES pp. 1-44

Faisal Mahmood, Umeair Shahzad, Ali Nazakat, Zahoor Ahmed, Husam Rjoub and Wing-Keung Wong

MODELING OF STOCK RETURNS IN CONTINUOUS VIS-À-VIS DISCRETE TIME IS EQUIVALENT, RESPECTIVELY, TO THE CONDITIONING OF STOCK RETURNS ON A RANDOM WALK PROCESS FOR TRADE IMBALANCES VIS-À-VIS A RANDOM WALK PROCESS FOR EVOLUTION OF INFORMATION pp. 1-35

Oghenovo A. Obrimah and Wing-Keung Wong

RISK-AVERSION: MATHEMATICAL AND ECONOMIC PERSPECTIVES pp. 1-23

Haim Levy

A NOTE ON UNCERTAINTY DUE TO INFECTIOUS DISEASES AND OUTPUT GROWTH OF THE UNITED STATES: A MIXED-FREQUENCY FORECASTING EXPERIMENT pp. 1-9

Afees Salisu, Rangan Gupta and Riza Demirer

Volume 17, issue 01, 2022

THE EFFECTS OF SELECTED FINANCIAL RATIOS ON PROFITABILITY: AN EMPIRICAL ANALYSIS OF REAL ESTATE FIRMS IN VIETNAM pp. 1-29

Le Ngoc Thuy Trang, Do Thi Thanh Nhan, Dung Nguyen Thi Phuong and Wing-Keung Wong

MODELING STOCK PRICE MOVEMENTS PREDICTION BASED ON NEWS SENTIMENT ANALYSIS AND DEEP LEARNING pp. 1-19

Maedeh Tajmazinani, Hossein Hassani, Reza Raei and Saeed Rouhani

ON THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY, GEOPOLITICAL RISK AND STOCK MARKET RETURNS IN SOUTH KOREA: A QUANTILE CAUSALITY ANALYSIS pp. 1-19

Tomiwa Adebayo, Seyi Akadiri and Husam Rjoub

IMPACT OF COVID-19 ON VOLATILITY SPILLOVERS ACROSS INTERNATIONAL MARKETS: EVIDENCE FROM VAR ASYMMETRIC BEKK GARCH MODEL pp. 1-25

Nadia Arfaoui and Imran Yousaf

CONTAGION ACROSS FINANCIAL MARKETS DURING COVID-19: A LOOK AT VOLATILITY SPILLOVERS BETWEEN THE STOCK AND FOREIGN EXCHANGE MARKETS IN SOUTH AFRICA pp. 1-46

Chevaughn van der Westhuizen, Renee van Eyden and Goodness C. Aye

REVISITING INFLATION-GROWTH NEXUS: AN ENDOGENOUS GROWTH MODEL WITH FINANCIAL FRICTIONS pp. 1-13

Fa-Hsiang Chang and Lin Zhang