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Annals of Financial Economics (AFE)

2005 - 2023

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 18, issue 03, 2023

Market Capitalized Scale and Corporate Capital Structure — Evidence from CSI300’s Listed Firms pp. 1-23 Downloads
Huu Manh Nguyen, Wing Keung Wong and Thi Huong Giang Vuong
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 Downloads
Rachana Jaiswal
Potential Welfare Gains from Optimal Macro Hedging for Oil Exporters pp. 1-22 Downloads
Ricardo Lalloo
Does Trade Openness Affect Global Entrepreneurship Development? Evidence from BRICS Countries pp. 1-33 Downloads
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 Downloads
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 Downloads
Sabreen Khan and Dil Pazir

Volume 18, issue 02, 2023

The Asymmetric Effect of the Extreme Changes in the Economic Policy Uncertainty on the Exchange Rates: Evidence from Emerging Seven Countries pp. 1-24 Downloads
Alina Maydybura, Raheel Gohar, Asma Salman, Wing-Keung Wong and Bisharat Hussain Chang
Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realized Volatility pp. 1-14 Downloads
Sisa Shiba, Juncal Cunado, Rangan Gupta and Samrat Goswami
Does US Infectious Disease Equity Market Volatility Index Predict G7 Stock Returns? Evidence Beyond Symmetry pp. 1-16 Downloads
Raheel Gohar, Asma Salman, Emmanuel Uche, Omer Faruk Derindag and Bisharat Hussain Chang
Spillover Effects in the Presence of Structural Breaks, Persistence and Conditioned Heteroscedasticity pp. 1-51 Downloads
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 Downloads
Mustafa Sayim and Nguyen Quang My
The Impact of Macroeconomic Indicators on the Balance of Payments: Empirical Evidence from Afghanistan pp. 1-29 Downloads
Abdul Hadi Sultani and U. Faisal

Volume 18, issue 01, 2023

Drawbacks in the 3-Factor Approach of Fama and French (2018) pp. 1-26 Downloads
David Allen and Michael McAleer
Nonlinear Causal Relationship Between Economic Policy Uncertainty and Macroeconomic Variables in Selected Emerging Market Economies pp. 1-34 Downloads
Abigail Naa Korkor Adjei, George Tweneboah and Peterson Owusu Junior
On the Predictive Value of the (Shadow) Real Interest Rate for the Realized Volatility of Gold-Price Returns pp. 1-16 Downloads
Christian Pierdzioch, Sebastian Rohloff and Roland Von Campe
The Mean-Variance Rule for Investors with Reverse S-Shaped Utility pp. 1-16 Downloads
Wing-Keung Wong, David Yeung and Richard Lu
Editorial: Statement for the Special Issue in Honor of Michael McAleer pp. 1-8 Downloads
David Allen, Moawia Alghalith and Wing-Keung Wong
Density and Risk Prediction with Non-Gaussian COMFORT Models pp. 1-37 Downloads
Marc S. Paolella and Paweł Polak
Ten Ways to Specify a Gini Coefficient Using Entropy pp. 1-19 Downloads
Hang Keun Ryu and Daniel J. Slottje
An Informational Theory of the Dynamic Value of the Firm pp. 1-22 Downloads
David Yeung and Wing-Keung Wong
Financial Development and Income Inequality: Evidence From Advanced, Emerging and Developing Economies pp. 1-27 Downloads
Carolyn Chisadza and Mduduzi Biyase

Volume 17, issue 04, 2022

INVESTMENT BASED ON SIZE, VALUE, MOMENTUM AND INCOME MEASURES: A STUDY IN THE TAIWAN STOCK MARKET pp. 1-33 Downloads
Richard Lu, Jai-Jen Wang and Wing-Keung Wong
CONNECTEDNESS BETWEEN CRUDE OIL AND US EQUITIES: THE IMPACT OF THE COVID-19 PANDEMIC pp. 1-30 Downloads
Aktham Maghyereh and Hussein Abdoh
TIME-FREQUENCY CO-MOVEMENT BETWEEN COVID-19 AND PAKISTAN’S STOCK MARKET: EMPIRICAL EVIDENCE FROM WAVELET COHERENCE ANALYSIS pp. 1-17 Downloads
Shoaib Ali, Muhammad Naveed, Aisha Saleem and Muhammad Wajahat Nasir
IS THERE A BETA ANOMALY? EVIDENCE FROM THE INDIA pp. 1-20 Downloads
Vinay Khandelwal and Varun Chotia
DELINEATION OF BLOCKCHAIN TECHNOLOGY IN FINANCE: A SCIENTOMETRIC VIEW pp. 1-26 Downloads
Rachana Jaiswal, Shashank Gupta and Aviral Tiwari
DO THE INCOME AND PRICE CHANGES AFFECT CONSUMPTION IN THE EMERGING 7 COUNTRIES? EMPIRICAL EVIDENCE USING QUANTILE ARDL MODEL pp. 1-24 Downloads
Raheel Gohar, Salim Bagadeem, Bisharat Hussain Chang and Muyu Zong

Volume 17, issue 03, 2022

IMPACT OF ECONOMIC FREEDOM AND ITS SUBCOMPONENTS ON COMMERCIAL BANKS’ RISK-TAKING pp. 1-30 Downloads
Faisal Abbas, Shoaib Ali and Wing-Keung Wong
A LINKAGE BETWEEN THE FINANCIAL AND THE REAL ECONOMY pp. 1-33 Downloads
Sebastian Rey
DYNAMIC LINKAGES AND INTEGRATION AMONG FIVE EMERGING BRICS MARKETS: PRE- AND POST-BRICS PERIOD ANALYSIS pp. 1-36 Downloads
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 Downloads
Char-Lee Lok, Shu-Fen Chuah and Chee-Wooi Hooy
DOES PREMIUM EXIST IN THE STOCK MARKET FOR LABOR INCOME GROWTH RATE? A SIX-FACTOR-ASSET-PRICING MODEL: EVIDENCE FROM PAKISTAN pp. 1-24 Downloads
Naveed Khan, Hassan Zada and Imran Yousaf
CAUSALITY, INFORMATION FLOW, AND CO-MOVEMENT ANALYSIS OF MAJOR STOCK INDICES pp. 1-21 Downloads
Cengiz Karatas and Gazanfer Unal

Volume 17, issue 02, 2022

THE NEXUS BETWEEN CASH CONVERSION CYCLE, WORKING CAPITAL FINANCE, AND FIRM PERFORMANCE: EVIDENCE FROM NOVEL MACHINE LEARNING APPROACHES pp. 1-44 Downloads
Faisal Mahmood, Umeair Shahzad, Ali Nazakat, Zahoor Ahmed, Husam Rjoub and Wing-Keung Wong
ASYMMETRIC DEPENDENCE BETWEEN EXCHANGE RATE AND COMMODITY PRICES IN GHANA pp. 1-26 Downloads
Christina Archer, Peterson Owusu Junior, Anokye M. Adam, Emmanuel Asafo-Adjei and Stephen Baffoe
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 Downloads
Oghenovo A. Obrimah and Wing-Keung Wong
TIME–FREQUENCY ANALYSIS BETWEEN ECONOMIC RISK AND FINANCIAL RISK IN THE MINT NATIONS: WHAT CAUSES WHAT? pp. 1-21 Downloads
Tomiwa Adebayo, Dervis Kirikkaleli and Husam Rjoub
RISK-AVERSION: MATHEMATICAL AND ECONOMIC PERSPECTIVES pp. 1-23 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
Tomiwa Adebayo, Seyi Akadiri and Husam Rjoub
REVISITING INFLATION-GROWTH NEXUS: AN ENDOGENOUS GROWTH MODEL WITH FINANCIAL FRICTIONS pp. 1-13 Downloads
Fa-Hsiang Chang and Lin Zhang
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 Downloads
Chevaughn van der Westhuizen, Renee van Eyden and Goodness C. Aye
IMPACT OF COVID-19 ON VOLATILITY SPILLOVERS ACROSS INTERNATIONAL MARKETS: EVIDENCE FROM VAR ASYMMETRIC BEKK GARCH MODEL pp. 1-25 Downloads
Nadia Arfaoui and Imran Yousaf

Volume 16, issue 04, 2021

SYMMETRIC IMPACT OF EXCHANGE RATE VOLATILITY ON FOREIGN DIRECT INVESTMENT IN PAKISTAN: DO THE GLOBAL FINANCIAL CRISES AND POLITICAL REGIMES MATTER? pp. 1-21 Downloads
Muhammad Ramzan
INVESTOR SENTIMENT CONNECTEDNESS: EVIDENCE FROM LINEAR AND NONLINEAR CAUSALITY APPROACHES pp. 1-29 Downloads
Aviral Tiwari, Deven Bathia, Elie Bouri and Rangan Gupta
MACROECONOMIC DETERMINANTS OF HOUSEHOLD CONSUMPTIONS IN GEORGIA pp. 1-16 Downloads
Azer Dilanchiev and Tengiz Taktakishvili
THE EFFECTS OF U.S. MONETARY POLICY UNCERTAINTY SHOCK ON INTERNATIONAL EQUITY MARKETS pp. 1-14 Downloads
Raymond Aor, Afees Salisu and Isah J. Okpe
APPROXIMATE SERIES SOLUTIONS OF A ONE-FACTOR TERM STRUCTURE MODEL FOR BOND PRICING pp. 1-22 Downloads
Sunday Onos Edeki, Deborah Chikwado Okoli, Hijaz Ahmad and Wing-Keung Wong
NON-CENTRAL MOMENTS OF THE TRUNCATED NORMAL VARIABLE IN FINANCE pp. 1-23 Downloads
Fausto Corradin and Domenico Sartore

Volume 16, issue 03, 2021

STRATEGIC INTERACTIONS AND NEGATIVE OIL PRICES pp. 1-33 Downloads
Chenghu Ma and Xianzhen Wang
ARBITRAGEUR BEHAVIOR IN SENTIMENT-DRIVEN ASSET-PRICING pp. 1-37 Downloads
Erdem Kilic and Oguzhan Gã–ksel
UNIVERSAL RISK BUDGETING pp. 1-18 Downloads
Alex Garivaltis
EDITORIAL STATEMENT IN HONOR OF PROFESSOR MICHAEL MCALEER pp. 1-21 Downloads
Moawia Alghalith, Norman Swanson, Andrey Vasnev and Wing-Keung Wong
CORPORATE VALUATION SPURRED BY INFORMATION TRANSPARENCY IN AN EMERGING ECONOMY pp. 1-21 Downloads
Tran Thai Ha Nguyen, Wing-Keung Wong, Gia Quyen Phan, Dang Thanh Minh Tran and Massoud Moslehpour
GEOPOLITICAL RISKS AND THE HIGH-FREQUENCY MOVEMENTS OF THE US TERM STRUCTURE OF INTEREST RATES pp. 1-16 Downloads
Rangan Gupta, Anandamayee Majumdar, Jacobus Nel and Sowmya Subramaniam

Volume 16, issue 02, 2021

ZERO-INFLATED POISSON REGRESSION MODELS: APPLICATIONS IN THE SCIENCES AND SOCIAL SCIENCES pp. 1-19 Downloads
Buu-Chau Truong, Kim-Hung Pho, Cong-Chanh Dinh and Michael McAleer
THE IMPACT OF CAPITAL STRUCTURE AND OWNERSHIP ON THE PERFORMANCE OF STATE ENTERPRISES AFTER EQUITIZATION: EVIDENCE FROM VIETNAM pp. 1-22 Downloads
Nguyen Duy Suu, Ho Thuy Tien and Wing-Keung Wong
EVALUATING THE EFFICIENCY OF VIETNAM BANKS USING DATA ENVELOPMENT ANALYSIS pp. 1-17 Downloads
Do Thi Thanh Nhan, Kim-Hung Pho, Dang Thi van Anh and Michael McAleer
UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES pp. 1-12 Downloads
Sisa Shiba and Rangan Gupta
CASES, DEATHS, STRINGENCY INDEXES AND INDIAN FINANCIAL MARKET — EMPIRICAL EVIDENCE DURING COVID-19 PANDEMIC pp. 1-13 Downloads
Shailaja Kheni and Santosh Kumar

Volume 16, issue 01, 2021

LIMIT-TO-ARBITRAGE FACTORS AND IVOL RETURNS PUZZLE: EMPIRICAL EVIDENCE FROM TAIWAN BEFORE AND DURING COVID-19 pp. 1-18 Downloads
Khoa Dang Duong, Qui Nhat Nguyen, Truong Vinh Le and Diep Nguyen
THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND CORPORATE TAX RATES pp. 1-13 Downloads
Matthew Clance, Giray Gözgör, Rangan Gupta and Chi Keung Lau
REGULARIZATION METHODS FOR ESTIMATING A MULTI-FACTOR CORPORATE BOND PRICING MODEL: AN APPLICATION FOR BRAZIL pp. 1-20 Downloads
Paulo Roberto Guimarães, Osvaldo Candido and André Ronzani
ASSET INVESTMENT DIVERSIFICATION, BANKRUPTCY RISK AND THE MEDIATING ROLE OF BUSINESS DIVERSIFICATION pp. 1-26 Downloads
Thanh Vu, Minh Nguyen and Michael McAleer
SUBMISSIONS AND ACCEPTANCES FOR THE ANNALS OF FINANCIAL ECONOMICS (AFE) pp. 1-2 Downloads
Michael McAleer
PRICING OPTIONS UNDER STOCHASTIC INTEREST RATE AND THE FRASCA–FARINA PROCESS: A SIMPLE, EXPLICIT FORMULA pp. 1-4 Downloads
Moawia Alghalith
Page updated 2023-10-01