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Autoregressive distributed lag estimation of bank financing and Nigerian manufacturing sector capacity utilization 银行融资与尼日利亚制造业产能利用率的自回归分布滞后估计
IF 5.3 Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023004
K. A. Saka, Y. I. Bolanle
This study examined the short-term and long-term relationship between credit financing by commercial banks and capacity utilization of the manufacturing sector in Nigeria. The study employed both classical Multiple Linear Regression (OLS-MLR) and the autoregressive distributed lag model (ARDL) to analyze data representing the period 1981–2020 relating to sectoral credit finance,labor employment,and capacity utilization from the Central Bank of Nigeria Statistical Bulletin (2020) and World Bank Development Indicators (2021). Further,the two estimation procedures were performed within a classical endogenous Cobb-Douglas production function framework that takes technical change into consideration. The bounds test indicated no long-term relationship between bank financing and average capacity utilization of the manufacturing sector in Nigeria. However,the ARDL results revealed that bank financing exerts a positive but insignificant short-term impact on the average capacity utilization of the manufacturing sector in Nigeria. Consequently,the researchers affirm that credit financing by commercial banks in Nigeria has no significant impact on the capacity utilization of the country's manufacturing sector,in neither the short run nor the long run.
本研究考察了商业银行信贷融资与尼日利亚制造业产能利用率之间的短期和长期关系。该研究采用经典多元线性回归(OLS-MLR)和自回归分布滞后模型(ARDL)来分析1981-2020年期间来自尼日利亚中央银行统计公报(2020)和世界银行发展指标(2021)的有关部门信贷融资、劳动力就业和产能利用率的数据。此外,这两个估计过程是在考虑技术变化的经典内生柯布-道格拉斯生产函数框架内进行的。边界检验表明,银行融资与尼日利亚制造业的平均产能利用率之间没有长期关系。然而,ARDL结果显示,银行融资对尼日利亚制造业的平均产能利用率产生了积极但不显著的短期影响。因此,研究人员确认,尼日利亚商业银行的信贷融资对该国制造业的产能利用率没有显著影响,无论是短期还是长期。
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引用次数: 0
Investor sentiment and the interdependence structure of GIIPS stock market returns: A multiscale approach 投资者情绪与GIIPS股票市场收益的相互依赖结构:一个多尺度的方法
IF 5.3 Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023005
S. Agyei, A. Bossman
The GIIPS economies are noted to suffer the most consequences of systemic crises. Regardless of their bad performance in crisis periods, their role(s) in asset allocation and portfolio management cannot go unnoticed. For effective portfolio management across divergent timescales, cross-market interdependencies cannot be side-lined. This study examines the conditional and unconditional co-movements of stock market returns of GIIPS economies incorporating investor fear in their time-frequency connectedness. As a result, the bi-, partial, and multiple wavelet approaches are employed. Our findings explicate that the high interdependencies between the stock market returns of GIIPS across all time scales are partly driven by investor fear, implying that extreme investor sentiment could influence stock market prices in GIIPS. The lagging role of Spanish stock market returns manifests at zero lags at high (lower) and medium frequencies (scales). At lower frequencies (higher scales), particularly quarterly-to-biannual and biannual-to-annual, Spanish and Irish stock markets, respectively, lag all other markets. Although portfolio diversification and safe haven benefits are minimal with GIIPS stocks, their volatilities could be hedged against by investing in the US VIX. Intriguing inferences for international portfolio and risk management are offered by our findings.
GIIPS经济体受到系统性危机的影响最为严重。尽管它们在危机时期表现不佳,但它们在资产配置和投资组合管理中的作用不容忽视。为了在不同的时间尺度上进行有效的投资组合管理,跨市场的相互依赖不能被边缘化。本研究考察了GIIPS经济体的股票市场回报的条件和无条件共同运动,其中包括投资者恐惧的时频连通性。因此,采用了双小波、偏小波和多小波方法。我们的研究结果表明,在所有时间尺度上,GIIPS股票市场回报之间的高度相互依赖性部分是由投资者恐惧驱动的,这意味着极端的投资者情绪可能会影响GIIPS的股票市场价格。西班牙股市回报的滞后作用在高(低)和中频(尺度)表现为零滞后。在较低的频率(较高的尺度),特别是每季度到每两年和每两年到每一年,西班牙和爱尔兰的股票市场分别落后于所有其他市场。尽管投资GIIPS股票的投资组合多样化和避险收益微乎其微,但它们的波动性可以通过投资美国波动率指数来对冲。我们的研究结果为国际投资组合和风险管理提供了有趣的推论。
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引用次数: 2
Determinants and evolution of financial inclusion in Latin America: A demand side analysis 拉丁美洲普惠金融的决定因素与演变:需求侧分析
IF 5.3 Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023010
S. Orazi, L. Martinez, H. Vigier
The benefits of financial inclusion could be particularly important in Latin America, where the levels of ownership and use of different instruments lag behind those of developed countries. An improvement in the ownership and use of formal financial instruments could result in a reduction in informality, the promotion of formal savings and productive credit, and, therefore, an inclusive economic growth. The objective of this paper is to analyze the financial inclusion of a group of Latin American countries in order to detect the most used financial instruments and the main socioeconomic determinants that explain their ownership or use. At the same time, the evolution of the main variables was also studied for the years 2011, 2014, 2017 and 2021. Micro-data from the Global Findex database was examined (except for 2021, in which only macro-data are available). Statistical models and multivariate econometrics are applied to understand the individual socioeconomic characteristics of people who are still very unlikely to own and use formal financial instruments. Finally, the main reasons for not having an account were analyzed in order to delve into the main restrictions on which the financial market must focus to achieve greater financial inclusion.
普惠金融的好处在拉丁美洲可能尤其重要,因为拉丁美洲不同金融工具的拥有率和使用率都落后于发达国家。改善正规金融工具的所有权和使用情况,可以减少非正规行为,促进正规储蓄和生产性信贷,从而实现包容性经济增长。本文的目的是分析一组拉丁美洲国家的金融包容性,以发现最常用的金融工具和解释其所有权或使用的主要社会经济决定因素。同时,对2011年、2014年、2017年和2021年主要变量的演变进行了研究。研究了全球Findex数据库中的微观数据(除了2021年,其中只有宏观数据可用)。统计模型和多元计量经济学应用于了解个人社会经济特征的人仍然不太可能拥有和使用正式的金融工具。最后,分析了没有账户的主要原因,以便深入研究金融市场必须关注的主要限制,以实现更大的金融包容性。
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引用次数: 0
Machine learning-based quantitative trading strategies across different time intervals in the American market 基于机器学习的美国市场不同时间间隔的定量交易策略
Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023028
Yimeng Wang, Keyue Yan

Stocks are the most common financial investment products and attract many investors around the world. However, stock price volatility is usually uncontrollable and unpredictable for the individual investor. This research aims to apply different machine learning models to capture the stock price trends from the perspective of individual investors. We consider six traditional machine learning models for prediction: decision tree, support vector machine, bootstrap aggregating, random forest, adaptive boosting, and categorical boosting. Moreover, we propose a framework that uses regression models to obtain predicted values of different moving average changes and converts them into classification problems to generate final predictive results. With this method, we achieve the best average accuracy of 0.9031 from the 20-day change of moving average based on the support vector machine model. Furthermore, we conduct simulation trading experiments to evaluate the performance of this predictive framework and obtain the highest average annualized rate of return of 29.57%.

<abstract>< >股票是最常见的金融投资产品,吸引着全球众多投资者。然而,对于个人投资者来说,股价波动通常是不可控制和不可预测的。本研究旨在应用不同的机器学习模型,从个人投资者的角度捕捉股票价格趋势。我们考虑了六种传统的机器学习预测模型:决策树、支持向量机、自举聚合、随机森林、自适应增强和分类增强。此外,我们提出了一个框架,该框架使用回归模型来获得不同移动平均变化的预测值,并将其转换为分类问题以生成最终的预测结果。利用该方法,基于支持向量机模型的移动平均线20天变化得到了最好的平均精度0.9031。此外,我们通过模拟交易实验来评估该预测框架的性能,并获得了29.57%的最高平均年化收益率。</p></abstract>
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引用次数: 0
The spillover effect of international monetary policy on China's financial market 国际货币政策对中国金融市场的溢出效应
Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023026
Cunyi Yang, Li Chen, Bin Mo

This study analyzes the impact of global financial integration and monetary policies from the United States, European Union and Japan on China's financial markets post-pandemic. Using TVP-FAVAR (Time-Varying Parameter Factor Augmented Vector Autoregression) and TVP-VAR-DY (Time-Varying Parameter Vector Autoregression DY) models, a Chinese financial market stress index was developed, showing that developed nations' monetary policies influence China's financial stress. The impact varies based on the economy's size and policy effectiveness. The spillovers occur mainly through accelerated short-term capital flows and foreign exchange reserve fluctuations. These effects have evolved over two decades, particularly noticeable during economic crises and the COVID-19 pandemic, highlighting the need for emerging economies, like China, to protect against international financial spillovers.

& lt; abstract>本研究分析了全球金融一体化以及美国、欧盟和日本的货币政策对疫情后中国金融市场的影响。利用TVP-FAVAR(时变参数因子增广向量自回归)和TVP-VAR-DY(时变参数向量自回归)模型,构建了中国金融市场压力指数,揭示了发达国家货币政策对中国金融压力的影响。影响因经济规模和政策效果而异。溢出效应主要是通过短期资本流动加速和外汇储备波动来实现的。这些影响在过去二十年中不断演变,在经济危机和2019冠状病毒病大流行期间尤为明显,这凸显了中国等新兴经济体防范国际金融溢出效应的必要性。& lt; / abstract>
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引用次数: 2
A naive justification of hyperbolic discounting from mental algebraic operations and functional analysis 从心理代数运算和泛函分析中对双曲折现的朴素证明
Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023023
Salvador Cruz Rambaud, Jorge Hernandez-Perez
Background

Intertemporal decision-making, which involves making choices between outcomes at different time points, is a fundamental aspect of human behavior. Understanding the underlying mental processes is vital for comprehending the complexities of human decision-making and choice behavior.

Objective

The main objective of this study is to investigate the interplay of mental processes, specifically cognitive evaluation, subjective valuation, and comparison, in the context of intertemporal decision-making, with a specific focus on understanding the discounting process.

Methodology

Development of a mathematical representation of the discounting process that incorporates the mental processes associated with intertemporal decision-making.

Result

Our findings indicate that hyperbolic discounting aligns well with the cognitive processes underlying intertemporal decision-making. Subsequent research will employ qualitative questionnaires to establish the discount function relevant to specific groups, thereby enhancing our comprehension of the discounting process within intertemporal decision-making.

跨期决策是人类行为的一个基本方面,它涉及在不同的时间点对结果进行选择。理解潜在的心理过程对于理解人类决策和选择行为的复杂性至关重要。& lt; / sec>本研究的主要目的是探讨跨期决策背景下心理过程,特别是认知评价、主观评价和比较的相互作用,并特别关注对贴现过程的理解。& lt; / sec><sec><title>方法论</title>< < < >开发贴现过程的数学表示,将与跨期决策相关的心理过程纳入其中。</p>& lt; / sec><sec> title < results </title>< < >我们的研究结果表明,双曲线贴现与跨期决策的认知过程非常吻合。后续研究将采用定性问卷来建立与特定群体相关的贴现函数,从而增强我们对跨期决策中的贴现过程的理解。& lt; / sec> & lt; / abstract>
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引用次数: 1
Measuring conditional correlation between financial markets' inefficiency 衡量金融市场无效率之间的条件相关性
Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023025
Fabrizio Di Sciorio, Raffaele Mattera, Juan Evangelista Trinidad Segovia

Assuming that stock prices follow a multi-fractional Brownian motion, we estimated a time-varying Hurst exponent ($ h_t $). The Hurst value can be considered a relative volatility measure and has been recently used to estimate market inefficiency. Therefore, the Hurst exponent offers a level of comparison between theoretical and empirical market efficiency. Starting from this point of view, we adopted a multivariate conditional heteroskedastic approach for modeling inefficiency dynamics in various financial markets during the 2007 financial crisis, the COVID-19 pandemic and the Russo-Ukranian war. To empirically validate the analysis, we compared different stock markets in terms of conditional and unconditional correlations of dynamic inefficiency and investigated the predicted power of inefficiency measures through the Granger causality test.

< >< >假设股票价格遵循多分数布朗运动,我们估计了一个时变Hurst指数($ h_t $)。赫斯特值可以被认为是一个相对波动的度量,最近被用来估计市场的无效率。因此,赫斯特指数提供了理论和实证市场效率之间的比较水平。从这一观点出发,我们采用多元条件异方差方法对2007年金融危机、2019冠状病毒病大流行和俄罗斯-乌克兰战争期间各种金融市场的低效率动态进行了建模。为了实证验证这一分析,我们比较了不同股票市场动态无效率的条件相关性和无条件相关性,并通过格兰杰因果检验考察了无效率措施的预测能力。
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引用次数: 0
The effects of different modes of foreign bank entry in the Turkish banking sector during the 2007–2009 Global financial crisis 2007-2009年全球金融危机期间外国银行进入土耳其银行业的不同模式的影响
IF 5.3 Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023002
N. Polovina, K. Peasnell
This paper provides insights on how foreign bank entry modes (acquisition vs. greenfield investment) in an emerging market (Turkey) influenced bank strategies during the 2007–2009 global financial crisis. Using a comprehensive dataset comprising twenty-nine accounting variables from Turkish banks' financial statements during 2005–2010, we find important differences between foreign-acquired banks and foreign bank branches in lending and sourcing funds. We find that foreign bank branches continued to support international trade by issuing import loans during 2007–2009 global financial crisis, whereas foreign-acquired banks focused on issuing consumer and credit card loans. In terms of bank sourcing funds, we find that foreign-acquired banks were able to continue to use foreign currency deposits of Turkish residents and local interbank funding including participation (Islamic) banks. Foreign bank branches, on the other hand, relied on sourcing funds from international interbank funding and foreign currency deposits of residents abroad, which led to the necessity for them to change their strategies because of funding shortage in international markets. Our results show that the presence of foreign banks in Turkish banking sector enabled the continuity of bank lending activities in host market during the turmoil of 2007–2009 global financial crisis. Our findings on foreign bank entry mode provide new evidence and have important implications for both policy makers and practitioners in emerging markets.
本文提供了在2007-2009年全球金融危机期间,新兴市场(土耳其)的外国银行进入模式(收购与绿地投资)如何影响银行战略的见解。利用一个综合数据集,包括土耳其银行2005-2010年财务报表中的29个会计变量,我们发现外资收购的银行和外资银行分支机构在贷款和资金来源方面存在重要差异。我们发现,在2007-2009年全球金融危机期间,外资银行分支机构继续通过发放进口贷款来支持国际贸易,而外资收购银行则侧重于发放消费和信用卡贷款。在银行获取资金方面,我们发现外资收购的银行能够继续使用土耳其居民的外币存款和当地银行间资金,包括参与(伊斯兰)银行。另一方面,外资银行分支机构依赖于从国际银行间融资和海外居民的外币存款中获取资金,这导致它们必须改变策略,因为国际市场资金短缺。我们的研究结果表明,在2007-2009年全球金融危机动荡期间,外国银行在土耳其银行业的存在使东道国市场的银行贷款活动得以延续。我们关于外资银行进入模式的研究结果为新兴市场的政策制定者和从业者提供了新的证据,具有重要的启示意义。
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引用次数: 0
Cost and performance of carbon risk in socially responsible mutual funds 社会责任共同基金的碳风险成本与绩效
IF 5.3 Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023003
J. C. Matallín‐Sáez, A. Soler‐Domínguez
Investors and other financial actors are attracted by the role of socially responsible (SR) mutual funds in the transition to a low-carbon economy. In response to the demand for more information, Morningstar reported the level of carbon risk of funds by using the following indicators: Carbon Risk, Carbon Management, Carbon Operations risk and Carbon Exposure. Dealing with a sample of 3370 equity SR mutual funds worldwide from 2017 to 2021, this study analyzes the relationships between these indicators and the expense ratio and performance of the funds. In general, the results point to funds with lower carbon scores that have lower fees and perform better than those with higher scores. Considering the effects of the COVID-19 crisis, this evidence holds true for most of the sample period analyzed. With a spatial analysis, although the evidence generally holds, regional differences are found. Thus, funds that invest in the USA and Canada are on average cheaper and show lower carbon scores, while funds that are oriented to other areas, such as emerging markets, are more expensive and show higher scores. In summary, there is good news for the utility function of the investor and the planet: Green investing is cheaper and better.
投资者和其他金融行为者被社会责任共同基金在向低碳经济转型中的作用所吸引。为了回应更多信息的需求,晨星公司通过以下指标来报告基金的碳风险水平:碳风险、碳管理、碳运营风险和碳暴露。本研究以2017 - 2021年全球3370只股票型SR共同基金为样本,分析了这些指标与基金费用率和业绩之间的关系。总体而言,研究结果表明,碳排放得分较低的基金收费较低,表现优于得分较高的基金。考虑到COVID-19危机的影响,这一证据在分析的大部分样本期间都是正确的。通过空间分析,尽管证据普遍成立,但也发现了区域差异。因此,投资于美国和加拿大的基金平均成本更低,碳得分也更低,而投资于其他地区(如新兴市场)的基金成本更高,得分也更高。总之,对于投资者和地球的效用函数来说,有一个好消息:绿色投资更便宜、更好。
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引用次数: 0
Investing in virtue and frowning at vice? Lessons from the global economic and financial crisis 对美德投资,对罪恶皱眉?全球经济和金融危机的教训
IF 5.3 Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023001
Lucía Morales, Daniel Rajmil
Socially responsible mutual funds (SRMF) and the "antisocially conscious", Vitium Global Fund Barrier Fund (formerly known as the Vice Fund, the term used in this paper) returns, volatility patterns, and causal effects are examined in this study within the context of the lessons learned from the 2008 Global Economic and Financial Crisis (GEFC). In times of a new and unprecedented crisis due to the COVID-19 pandemic, a look back to our recent past reveals that volatility patterns on daily stock returns presented some level of predictability on prices for both types of funds. The research findings are significant as funds' potential predictability could help market players when designing their investment strategies. More specifically, an increase in volatility persistence is found after the GEFC, together with an increase in the Vice Fund's resilience to market shocks. Although all funds, without substantial differences, take time to absorb the shocks. A noteworthy outcome relates to SRMF that was able to achieve higher returns and exhibited lower volatility levels during the crisis period. Whereas the Vice Fund revealed long-run sustainable performance offering fund managers and investors investment opportunities that are endorsed by the fund performance over the period. Furthermore, unidirectional causality was found running from the Vice Fund to the SRMF, exhibiting a clear dominance during the GEFC period. The research findings contribute to the debate on the future of socially responsible investment, indicating that SRMF appears to be driven by "antisocially conscious" funds signaling limited rewards for investors inclined to invest in funds that are considered socially responsible.
社会责任共同基金(SRMF)和“反社会意识”,Vitium全球基金障碍基金(以前称为副基金,本文中使用的术语)的回报,波动模式和因果关系在本研究中从2008年全球经济和金融危机(GEFC)中吸取的教训的背景下进行了检查。在2019冠状病毒病(COVID-19)大流行导致的前所未有的新危机时期,回顾我们最近的历史,我们发现,这两种基金的每日股票回报的波动模式对价格都具有一定程度的可预测性。研究结果意义重大,因为基金潜在的可预测性可以帮助市场参与者设计投资策略。更具体地说,全球环境融资后波动性持续性增加,副基金抵御市场冲击的能力也有所增强。尽管所有的基金都需要时间来吸收冲击,但没有实质性的差异。一个值得注意的结果是,在危机期间,SRMF能够实现更高的回报,并表现出更低的波动性。而副基金则显示了长期可持续的业绩,为基金经理和投资者提供了投资机会,这些投资机会是基金在这一时期的业绩所认可的。此外,发现从副基金到srrmf的单向因果关系,在全球环境融资期间表现出明显的主导地位。研究结果有助于对社会责任投资未来的辩论,表明SRMF似乎是由“反社会意识”基金驱动的,这表明倾向于投资于被认为具有社会责任的基金的投资者的回报有限。
{"title":"Investing in virtue and frowning at vice? Lessons from the global economic and financial crisis","authors":"Lucía Morales, Daniel Rajmil","doi":"10.3934/qfe.2023001","DOIUrl":"https://doi.org/10.3934/qfe.2023001","url":null,"abstract":"Socially responsible mutual funds (SRMF) and the \"antisocially conscious\", Vitium Global Fund Barrier Fund (formerly known as the Vice Fund, the term used in this paper) returns, volatility patterns, and causal effects are examined in this study within the context of the lessons learned from the 2008 Global Economic and Financial Crisis (GEFC). In times of a new and unprecedented crisis due to the COVID-19 pandemic, a look back to our recent past reveals that volatility patterns on daily stock returns presented some level of predictability on prices for both types of funds. The research findings are significant as funds' potential predictability could help market players when designing their investment strategies. More specifically, an increase in volatility persistence is found after the GEFC, together with an increase in the Vice Fund's resilience to market shocks. Although all funds, without substantial differences, take time to absorb the shocks. A noteworthy outcome relates to SRMF that was able to achieve higher returns and exhibited lower volatility levels during the crisis period. Whereas the Vice Fund revealed long-run sustainable performance offering fund managers and investors investment opportunities that are endorsed by the fund performance over the period. Furthermore, unidirectional causality was found running from the Vice Fund to the SRMF, exhibiting a clear dominance during the GEFC period. The research findings contribute to the debate on the future of socially responsible investment, indicating that SRMF appears to be driven by \"antisocially conscious\" funds signaling limited rewards for investors inclined to invest in funds that are considered socially responsible.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70231132","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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Quantitative Finance and Economics
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