Annals of Financial Economics (AFE)

2005 - 2023

Current editor(s): Michael McAleer

From World Scientific Publishing Co. Pte. Ltd.
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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

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

Rachana Jaiswal

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

Ricardo Lalloo

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

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

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

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

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

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

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

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

David Allen and Michael McAleer

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

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

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

Marc S. Paolella and Paweł Polak

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

Hang Keun Ryu and Daniel J. Slottje

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

David Yeung and Wing-Keung Wong

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

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

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

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

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

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

Vinay Khandelwal and Varun Chotia

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

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

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

Faisal Abbas, Shoaib Ali and Wing-Keung Wong

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

Sebastian Rey

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

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

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

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

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

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

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

Tomiwa Adebayo, Dervis Kirikkaleli and Husam Rjoub

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

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

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

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

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

Muhammad Ramzan

INVESTOR SENTIMENT CONNECTEDNESS: EVIDENCE FROM LINEAR AND NONLINEAR CAUSALITY APPROACHES pp. 1-29

Aviral Tiwari, Deven Bathia, Elie Bouri and Rangan Gupta

MACROECONOMIC DETERMINANTS OF HOUSEHOLD CONSUMPTIONS IN GEORGIA pp. 1-16

Azer Dilanchiev and Tengiz Taktakishvili

THE EFFECTS OF U.S. MONETARY POLICY UNCERTAINTY SHOCK ON INTERNATIONAL EQUITY MARKETS pp. 1-14

Raymond Aor, Afees Salisu and Isah J. Okpe

APPROXIMATE SERIES SOLUTIONS OF A ONE-FACTOR TERM STRUCTURE MODEL FOR BOND PRICING pp. 1-22

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

Fausto Corradin and Domenico Sartore

Volume 16, issue 03, 2021

STRATEGIC INTERACTIONS AND NEGATIVE OIL PRICES pp. 1-33

Chenghu Ma and Xianzhen Wang

ARBITRAGEUR BEHAVIOR IN SENTIMENT-DRIVEN ASSET-PRICING pp. 1-37

Erdem Kilic and Oguzhan Gã–ksel

UNIVERSAL RISK BUDGETING pp. 1-18

Alex Garivaltis

EDITORIAL STATEMENT IN HONOR OF PROFESSOR MICHAEL MCALEER pp. 1-21

Moawia Alghalith, Norman Swanson, Andrey Vasnev and Wing-Keung Wong

CORPORATE VALUATION SPURRED BY INFORMATION TRANSPARENCY IN AN EMERGING ECONOMY pp. 1-21

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

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

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

Nguyen Duy Suu, Ho Thuy Tien and Wing-Keung Wong

EVALUATING THE EFFICIENCY OF VIETNAM BANKS USING DATA ENVELOPMENT ANALYSIS pp. 1-17

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

Sisa Shiba and Rangan Gupta

CASES, DEATHS, STRINGENCY INDEXES AND INDIAN FINANCIAL MARKET — EMPIRICAL EVIDENCE DURING COVID-19 PANDEMIC pp. 1-13

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

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

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

Paulo Roberto Guimarães, Osvaldo Candido and André Ronzani

ASSET INVESTMENT DIVERSIFICATION, BANKRUPTCY RISK AND THE MEDIATING ROLE OF BUSINESS DIVERSIFICATION pp. 1-26

Thanh Vu, Minh Nguyen and Michael McAleer

SUBMISSIONS AND ACCEPTANCES FOR THE ANNALS OF FINANCIAL ECONOMICS (AFE) pp. 1-2

Michael McAleer

PRICING OPTIONS UNDER STOCHASTIC INTEREST RATE AND THE FRASCA–FARINA PROCESS: A SIMPLE, EXPLICIT FORMULA pp. 1-4

Moawia Alghalith