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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

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

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

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

Rachana Jaiswal, Shashank Gupta and Aviral Tiwari

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

Aktham Maghyereh and Hussein Abdoh

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

Vinay Khandelwal and Varun Chotia

Volume 17, issue 03, 2022

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

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

Cengiz Karatas and Gazanfer Unal

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

Faisal Abbas, Shoaib Ali and Wing-Keung Wong

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

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

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

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

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

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

Volume 16, issue 04, 2021

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

Azer Dilanchiev and Tengiz Taktakishvili

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

Aviral Tiwari, Deven Bathia, Elie Bouri and Rangan Gupta

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

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

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

Raymond Aor, Afees Salisu and Isah J. Okpe

NON-CENTRAL MOMENTS OF THE TRUNCATED NORMAL VARIABLE IN FINANCE pp. 1-23

Fausto Corradin and Domenico Sartore

Volume 16, issue 03, 2021

UNIVERSAL RISK BUDGETING pp. 1-18

Alex Garivaltis

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

Erdem Kilic and Oguzhan Gã–ksel

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

STRATEGIC INTERACTIONS AND NEGATIVE OIL PRICES pp. 1-33

Chenghu Ma and Xianzhen Wang

Volume 16, issue 02, 2021

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

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

Shailaja Kheni and Santosh Kumar

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

UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES pp. 1-12

Sisa Shiba and Rangan Gupta

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

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

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

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

THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND CORPORATE TAX RATES pp. 1-13

Matthew Clance, Giray Gözgör, Rangan Gupta and Chi Keung Lau

Volume 15, issue 04, 2020

HISTORICAL FORECASTING OF INTEREST RATE MEAN AND VOLATILITY OF THE UNITED STATES: IS THERE A ROLE OF UNCERTAINTY? pp. 1-17

Hossein Hassani, Mohammad Reza Yeganegi and Rangan Gupta

REVENUE DIVERSIFICATION AND BANKING RISK: DOES THE STATE OWNERSHIP MATTER? EVIDENCE FROM AN EMERGING MARKET pp. 1-18

Giang Thi Huong Vuong and Manh Huu Nguyen

SIMPLE BAYESIAN FORECAST COMBINATION pp. 1-7

Philip Hans Franses

FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK? pp. 1-26

David Allen and Michael McAleer

PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS pp. 1-15

David Allen and Michael McAleer

PRICING MULTI-ASSET AMERICAN OPTION WITH STOCHASTIC CORRELATION COEFFICIENT UNDER VARIANCE GAMMA ASSET PRICE DYNAMIC pp. 1-25

Farshid Mehrdoust and Oldouz Samimi

Volume 15, issue 03, 2020

EFFECTS OF VOLATILITY AMONG COMMODITIES IN THE LONG TERM: ANALYSIS OF A COMPLEX NETWORK pp. 1-16

Marcelo de Oliveira Passos, Mathias Tessmann, Regis Ely, Daniel Uhr and Márcio Taceli Taveira

TESTING TRADE-OFF THEORY BETWEEN NETWORKING CAPITAL AND FIRM VALUE: EMPIRICAL EVIDENCE FROM VIETNAM pp. 1-21

Duong Dang Khoa, Pham Thi Tram Anh and Le Thi My Duyen

PRIOR TRADING OUTCOMES AND SUBSEQUENT PORTFOLIO RISKS: USING SECURITIES DEALER IN TAIWAN AS AN EXAMPLE pp. 1-30

Yong-Chin Liu, Hsiang-Ju Chen and Wei-Ting Hsu

FINANCIAL INTEGRATION, ENERGY CONSUMPTION AND ECONOMIC GROWTH IN VIETNAM pp. 1-19

Minh Nguyen, Bui Ngoc and Michael McAleer

Volume 15, issue 02, 2020

BANK EARNINGS MANAGEMENT AND DIVIDEND POLICY UNDER AGENCY PROBLEM CONTEXTS pp. 1-15

Dung Tran

VALUATION, HEDGING, AND BOUNDS OF SWAPS UNDER MULTI-FACTOR BNS-TYPE STOCHASTIC VOLATILITY MODELS pp. 1-28

Aziz Issaka

THE IMPACT OF SAVINGS WITHDRAWALS ON A BANKER’S CAPITAL HOLDINGS SUBJECT TO BASEL III ACCORD pp. 1-30

Ryle S. Perera and Kimitoshi Sato

HEDGING UNDER PRICE, OUTPUT AND BASIS RISKS: EMPIRICAL ANALYSIS pp. 1-7

Moawia Alghalith and Ricardo Lalloo

WELFARE GAINS FROM MACRO-HEDGING pp. 1-7

Moawia Alghalith and Wing-Keung Wong

Volume 15, issue 01, 2020

AN EFFICIENT VARIANCE REDUCTION-BASED SIMULATION ALGORITHM FOR PRICING ARITHMETIC ASIAN OPTIONS pp. 1-17

Farshid Mehrdoust and Idin Noorani

IMMEDIATE AND LONGER-TERM STOCK PRICE DYNAMICS FOLLOWING LARGE STOCK PRICE CHANGES pp. 1-17

Andrey Kudryavtsev

AUSTRALIAN GOVERNMENT BONDS’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE pp. 1-20

Tanweer Akram and Anupam Das

THE CASH USE OF THE MALAYSIAN RINGGIT: CAN IT BE MORE EFFICIENT? pp. 1-5

Philip Hans Franses and Max Welz

MULTI-ASSET PORTFOLIO OPTIMIZATION WITH STOCHASTIC SHARPE RATIO UNDER DRAWDOWN CONSTRAINT pp. 1-33

Subhojit Biswas, Saif Jawaid and Diganta Mukherjee