Journal Description
International Journal of Financial Studies
International Journal of Financial Studies
is an international, peer-reviewed, scholarly open access journal on financial market, instruments, policy, and management research published quarterly online by MDPI.
- Open Access— free for readers, with article processing charges (APC) paid by authors or their institutions.
- High Visibility: indexed within Scopus, ESCI (Web of Science), EconLit, EconBiz, RePEc, and other databases.
- Journal Rank: JCR - Q2 (Business, Finance) / CiteScore - Q2 (Finance)
- Rapid Publication: manuscripts are peer-reviewed and a first decision is provided to authors approximately 29.4 days after submission; acceptance to publication is undertaken in 5.9 days (median values for papers published in this journal in the first half of 2024).
- Recognition of Reviewers: reviewers who provide timely, thorough peer-review reports receive vouchers entitling them to a discount on the APC of their next publication in any MDPI journal, in appreciation of the work done.
Impact Factor:
2.1 (2023);
5-Year Impact Factor:
2.1 (2023)
Latest Articles
Analyzing Overnight Momentum Transmission: The Impact of Oil Price Volatility on Global Financial Markets
Int. J. Financial Stud. 2024, 12(3), 75; https://doi.org/10.3390/ijfs12030075 - 30 Jul 2024
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Fluctuations in oil prices substantially impact both the real economy and international financial markets. Despite extensive studies on oil market dynamics and overnight momentum, a comprehensive understanding of the link between oil price changes and energy market momentum, as well as their broader
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Fluctuations in oil prices substantially impact both the real economy and international financial markets. Despite extensive studies on oil market dynamics and overnight momentum, a comprehensive understanding of the link between oil price changes and energy market momentum, as well as their broader influence on global financial markets, remains elusive. This study delves into the intricate mechanics of overnight momentum transmission within financial markets, focusing on its origin in oil price fluctuations and its overarching impact on market dynamics. Employing the quantile VAR method, we analyze daily market data from 3 January 2014 to 17 January 2024. This study emphasizes the significance of overnight momentum on the transmission of volatility, particularly in the tails of the distribution, and highlights the necessity for efficient strategies to govern financial stability. The shale oil revolution, COVID-19, the Russia–Ukraine war, and the Israel–Hamas conflict have significantly impacted the interconnectivity of financial markets on a global scale. It is crucial for policymakers to give priority to the monitoring of the energy market to reduce risks and improve the resilience of the system.
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Open AccessArticle
Housing Price-Vacancy Dynamics—An Empirical Study of the Hong Kong Housing Market
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Chung Yim Yiu and Thomas Murray
Int. J. Financial Stud. 2024, 12(3), 74; https://doi.org/10.3390/ijfs12030074 - 29 Jul 2024
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This study uses time series regression models and dynamic panel models of five-class housing to investigate the dynamics of the housing price-vacancy relationship in Hong Kong, offering insights distinct from previous cross-sectional analyses that take new housing completions as a supply proxy, without
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This study uses time series regression models and dynamic panel models of five-class housing to investigate the dynamics of the housing price-vacancy relationship in Hong Kong, offering insights distinct from previous cross-sectional analyses that take new housing completions as a supply proxy, without considering vacant homes as a source of housing supply. Two major contributions emerge: first, the results support the hypothesis that housing vacancies exert a negative impact on housing prices, holding other factors constant. Second, new builds supply is found to have a positive effect on housing prices, which is in line with many previous studies, but it contradicts the prediction. The results challenge the use of land supply or new housing completions as the proxy of housing supply and put forward a novel suggestion of including vacant homes in the housing price analysis. Advanced approaches to collecting housing vacancy data are also discussed. These findings have significant implications for policymakers, urban planners, and real estate investors, providing valuable insights for crafting targeted interventions and informing investment decisions. This is one of the first time series and dynamic panel analyses of housing vacancy’s effect on prices.
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Open AccessArticle
The Influence of Social Responsibility Practices on Tax Planning: An Empirical Study for Companies Listed on Euronext Lisbon
by
Pedro Ferreira Silva, Cristina Sá and Teresa Eugénio
Int. J. Financial Stud. 2024, 12(3), 73; https://doi.org/10.3390/ijfs12030073 - 29 Jul 2024
Abstract
This paper analyzes the influence of social responsibility practices on the development of tax planning activities in companies listed on Euronext Lisbon. Although scientific research into social responsibility and tax planning is not new, scientific studies into the relationship between these two themes
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This paper analyzes the influence of social responsibility practices on the development of tax planning activities in companies listed on Euronext Lisbon. Although scientific research into social responsibility and tax planning is not new, scientific studies into the relationship between these two themes is a developing area of research that still raises many questions. This study was carried out on a sample of 30 companies listed on Euronext Lisbon, using data for the 2018 and 2019 periods. The hypotheses were formulated based on a literature review on this subject. A multiple linear regression model was developed to validate the hypotheses. The results show that the social, corporate governance, environmental, or economic components of corporate social responsibility do not influence tax planning. However, the results show that company size negatively impacts tax planning, i.e., larger companies have lower effective tax rates. In the sample studied, larger companies implemented more tax planning strategies. In this way, this study can complement the understanding of the relationship between social responsibility practices and tax planning activities in Portugal and internationally.
Full article
(This article belongs to the Special Issue Sustainable Corporate Governance and Financial Performance)
Open AccessArticle
Exploring the Influence of Earnings Management on the Value Relevance of Financial Statements: Evidence from the Bucharest Stock Exchange
by
Georgiana Burlacu, Ioan-Bogdan Robu and Ionela Munteanu
Int. J. Financial Stud. 2024, 12(3), 72; https://doi.org/10.3390/ijfs12030072 - 26 Jul 2024
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Although financial statements are extremely important to investors in decision-making processes, their reliability can be affected by earnings management (EM) practices, which involve manipulating financial reports in order to achieve managerial benefits. This study explores the relationship between earnings management and firm valuation,
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Although financial statements are extremely important to investors in decision-making processes, their reliability can be affected by earnings management (EM) practices, which involve manipulating financial reports in order to achieve managerial benefits. This study explores the relationship between earnings management and firm valuation, based on accounting information’s predictive value, specifically investigating how EM influences the value relevance (VR) of earnings on share price. The research focuses on a sample of audited companies listed on the Bucharest Stock Exchange (BSE) between 2019 and 2021, comprising 62 entities. Using regression analysis, we explored the importance of accounting information for investors following Ohlson’s research and examined the relationship between EM and VR based on Jones’s model. The findings indicate that earnings significantly impact stock prices, highlighting their value relevance in the Romanian stock market. However, the practice of earnings management reduces the value relevance of earnings because it decreases the reliability of the accounting information. The main contribution of this analysis is to provide a fresh perspective on earnings management (EM) within the BVB framework by highlighting its pivotal role in shaping the motivation and behavior of corporate managers.
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Open AccessArticle
Economic Policy Uncertainty and Commercial Property Performance: An In-Depth Analysis of Rents and Capital Values
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Albert Agbeko Ahiadu, Rotimi Boluwatife Abidoye and Tak Wing Yiu
Int. J. Financial Stud. 2024, 12(3), 71; https://doi.org/10.3390/ijfs12030071 - 22 Jul 2024
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Economic uncertainty has steadily increased in response to a series of unforeseen shocks, notably the Global Financial Crisis, Brexit, COVID-19, and the Russia–Ukraine war. This study examined the impact of economic uncertainty on rents and capital values in Australia’s office, retail, and industrial
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Economic uncertainty has steadily increased in response to a series of unforeseen shocks, notably the Global Financial Crisis, Brexit, COVID-19, and the Russia–Ukraine war. This study examined the impact of economic uncertainty on rents and capital values in Australia’s office, retail, and industrial property sectors. The reactions of these performance indicators to national uncertainty shocks were assessed through reduced-form vector autoregressive (VAR) models, using quarterly data from 2001Q1 to 2022Q3. Overall, there is an inverse relationship between uncertainty and commercial property performance, with notable variations in magnitude and persistence across the different subsectors. Rents are more sensitive to external shocks across all three subsectors, highlighting their role as signals of short-term performance. Following one standard deviation shock in uncertainty, rents steadily declined for approximately three years in the office and retail subsectors. Industrial rents, however, exhibited muted reactions and recovered quicker, typically within five quarters. This resilience to external shocks displayed by the industrial subsector positions it as a compelling option for defensive investment strategies and portfolio diversification. Capital values are less reactive than rents, showing minimal responses to uncertainty shocks and little long-term persistence.
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Open AccessArticle
China’s Stock Market under COVID-19: From the Perspective of Behavioral Finance
by
Kaizheng Li and Xiaowen Jiang
Int. J. Financial Stud. 2024, 12(3), 70; https://doi.org/10.3390/ijfs12030070 - 19 Jul 2024
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As a colossal developing economy, irrational, and inefficient trades broadly exist in China’s stock market and are intensified by the once-in-a-century COVID-19 pandemic. This atypical but prominent event enhances systemic risk and requires a more effective analysis tool that adapts to the investors’
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As a colossal developing economy, irrational, and inefficient trades broadly exist in China’s stock market and are intensified by the once-in-a-century COVID-19 pandemic. This atypical but prominent event enhances systemic risk and requires a more effective analysis tool that adapts to the investors’ sentiment and behavior. Based on the behavioral asset pricing model, this paper verifies the existence of noise traders in China’s stock market, measures the intensity of the noise with the NTR indicator, and examines the market noise with IANM. Furthermore, the mechanism of how COVID-19 influences the market noise through investors’ behaviors is analyzed with the event study method. The findings show that, based on 92 Chinese companies, the market noise significantly exists, and the noise is associated with psychological biases including over-confidence, herding effects and regret aversion. These biases are affected to varying degrees by COVID-19-related events, leading to notable implications for market stability and investor behavior during crises. Our study provides critical insights for policymakers and investors on managing market risks and understanding behavioral impacts during unprecedented events.
Full article
(This article belongs to the Special Issue Risks and Uncertainties in Financial Markets)
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Open AccessArticle
Normal Asset Allocations and Their Statistical Properties
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Luca Ghezzi
Int. J. Financial Stud. 2024, 12(3), 69; https://doi.org/10.3390/ijfs12030069 - 12 Jul 2024
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This study focuses on efficient asset allocations that properly include T-bills, T-bonds, and the S&P 500 stock index. It checks that their annual real rates of linear return are both normal and almost lognormal. It reexamines how efficient portfolios based on the rates
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This study focuses on efficient asset allocations that properly include T-bills, T-bonds, and the S&P 500 stock index. It checks that their annual real rates of linear return are both normal and almost lognormal. It reexamines how efficient portfolios based on the rates of linear return may turn into efficient portfolios based on the rates of logarithmic return. It finds that each efficient asset allocation has the lowest possible standard deviation as well as the highest possible arithmetic and geometric means. It eventually reconsiders the relationship between the confidence interval of a geometric mean and an expected long-run capital accumulation. As a consequence, it bridges a gap in the scientific literature by enabling financial advisors to trade off the mean rate of return on a portfolio more rigorously against the value at risk.
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Open AccessArticle
Corporate Social Responsibility in Canadian Family Businesses: A Socioemotional Wealth Perspective
by
Imen Latrous, Jihene Kchaou, Myriam Ertz and Yosra Mnif
Int. J. Financial Stud. 2024, 12(3), 68; https://doi.org/10.3390/ijfs12030068 - 12 Jul 2024
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After having gained prominence in the late 20th century, corporate social responsibility (CSR) has emerged as a critical business aspect, adopted widely across the corporate landscape. Although family firms play a significant global role, research on their relationship with CSR performance remains sparse
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After having gained prominence in the late 20th century, corporate social responsibility (CSR) has emerged as a critical business aspect, adopted widely across the corporate landscape. Although family firms play a significant global role, research on their relationship with CSR performance remains sparse and inconclusive. This paper seeks to bridge this gap by employing the primary classification of family firms, the socioemotional wealth perspective, and its FIBER model to examine their influence on CSR performance. The focus is on Canadian public companies listed on the S&P/TSX Composite Index from 2014 to 2022. Utilizing the NBC Canadian Family Index, the findings suggest that family firms exhibit superior CSR performance compared to their non-family counterparts. Further analyses indicate that family firms with greater control and influence by family members, those named after the family, those with strong emotional ties, and first-generation family firms tend to have enhanced CSR performance. By developing a socioemotional wealth score through FIBER dimensions to classify family firms, this study underscores the association of family firms with higher CSR performance, validating the robustness of the results.
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(This article belongs to the Collection Corporate Social Responsibility in Finance)
Open AccessArticle
Assessing the Resilience of Islamic Stocks in BRIC Countries: Analyzing Coherence and Cointegration with S&P 500 Options Implied Volatility Smirk during the Global Financial Crisis
by
Ariful Hoque, Tanvir Bhuiyan and Thi Le
Int. J. Financial Stud. 2024, 12(3), 67; https://doi.org/10.3390/ijfs12030067 - 10 Jul 2024
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Challenging the perceived immunity of Islamic stocks to the global financial crisis, this research investigates whether there was any coherence and long-run cointegration between Islamic stocks of BRIC countries and S&P 500 options implied volatility smirk (IVS) in BRIC countries during the global
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Challenging the perceived immunity of Islamic stocks to the global financial crisis, this research investigates whether there was any coherence and long-run cointegration between Islamic stocks of BRIC countries and S&P 500 options implied volatility smirk (IVS) in BRIC countries during the global financial crisis (GFC). Employing Engle–Granger and Johansen’s cointegration tests along with wavelet coherence analysis, this study reveals significant long-run cointegration and both short-term and long-term wavelet coherence between IVS and Islamic stock returns (ISRs). Since the S&P 500 options IVS is a reliable indicator of GFC in the context of the conventional stock market, the cointegration and coherence between ISRs and IVS indicate the susceptibility of ISRs to market contagion during the GFC. These findings challenge the notion of Islamic stocks as a safe haven during financial crises, showing their susceptibility to market downturns similar to conventional stocks.
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Open AccessArticle
Corporate Social Responsibility, Carbon Information Disclosure, and Enterprise Value: A Study of Listed Companies in China’s Highly Polluting Industries
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Feng Shi and Yuan Wang
Int. J. Financial Stud. 2024, 12(3), 66; https://doi.org/10.3390/ijfs12030066 - 3 Jul 2024
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In 2022, China actively carried out economic transformation and sought high-quality development. To date, enhancing enterprise value is still one of the top priorities for enterprises. Enterprises should take various measures to continuously enhance their value in order to strive for their survival
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In 2022, China actively carried out economic transformation and sought high-quality development. To date, enhancing enterprise value is still one of the top priorities for enterprises. Enterprises should take various measures to continuously enhance their value in order to strive for their survival and development. The fulfillment of social responsibilities not only brings benefits to all stakeholders, but also establishes a good corporate image in front of the public and can increase enterprise value. At the same time, in the context of “carbon peaking and carbon neutrality”, carbon information disclosure has an important impact on enterprises and their stakeholders. Taking the data of listed companies within China’s Shanghai and Shenzhen A-share highly polluting industries from 2018 to 2022 as samples, this paper studies the relationship between the level of social responsibility fulfillment, carbon information disclosure, and enterprise value, and makes an empirical analysis. This research finds that social responsibility has a significant positive impact on enterprise value; carbon information disclosure has a significant positive impact on enterprise value; and carbon information disclosure plays a significant positive regulating role in the relationship between social responsibility and enterprise value. Finally, according to the research results, this paper puts forward relevant suggestions from two perspectives: enterprise and government.
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(This article belongs to the Special Issue Sustainable Investing and Financial Services)
Open AccessArticle
Does the Bangladesh Equity Market Expose to Disposition Effects Bias under Different Market Conditions?
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Muhammad Enamul Haque and Mahmood Osman Imam
Int. J. Financial Stud. 2024, 12(3), 65; https://doi.org/10.3390/ijfs12030065 - 2 Jul 2024
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The study provides an intuitive investigation into the disposition effect within frontier markets such as Bangladesh, particularly focusing on its behavior during various market conditions. The study’s novelty lies in its application of a methodological framework of the disposition effect measure of Weber
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The study provides an intuitive investigation into the disposition effect within frontier markets such as Bangladesh, particularly focusing on its behavior during various market conditions. The study’s novelty lies in its application of a methodological framework of the disposition effect measure of Weber and Camerer, aiming to understand the disposition effect through different market conditions. Dow Theory is applied to disparate bullish and bearish intermediate periods. Disposition effects persist for the entire study period, as well as the different market conditions except for the bearish Bangladesh equity market. The bullish and crisis markets exhibit a rather high disposition effect due to their respective market volatility. Stronger disposition effects are more pronounced for a crisis market in relation to a bullish market. In addition, the disposition effect in Bangladesh’s equity market oscillates in crisis periods. The documentation of the disposition effect in the Bangladesh equity market across market conditions suggests that investors’ psychology plays a crucial role in their decision processes. Individuals and professional investors should carefully design an appropriate strategy to control their decision-making process since the presence of disposition effects may impair the risk-return payoffs.
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Open AccessArticle
Perceptions of Cryptocurrencies and Modern Money before and after the COVID-19 Pandemic in Poland and Germany
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Marta Maciejasz, Robert Poskart and Daria Wotzka
Int. J. Financial Stud. 2024, 12(3), 64; https://doi.org/10.3390/ijfs12030064 - 29 Jun 2024
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Research background: Despite the fact that the issue of private, decentralized digital money (cryptocurrencies) is already quite extensively described in the literature dedicated to the financial system, especially its periphery, there is a deficiency in terms of research on the opinions of participants
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Research background: Despite the fact that the issue of private, decentralized digital money (cryptocurrencies) is already quite extensively described in the literature dedicated to the financial system, especially its periphery, there is a deficiency in terms of research on the opinions of participants in the financial system, based on trust in money and its widespread acceptance. International comparative studies are lacking, particularly those conducted before and after the COVID-19 virus pandemic. The pandemic showed that people had significantly changed their willingness to use different forms of money. Being isolated at home and avoiding direct contact with others, people started to use digital money more frequently. Purpose of the article: In response to the identified research gap, this study reports research results on the perception of cryptocurrencies by young financial market participants. It attempts to provide answers to the following research questions: (1) Has the COVID-19 pandemic and the lockdown of economies caused changes at the international level in perceptions and attitudes toward the traditional monetary system and cryptocurrencies? (2) Has the COVID-19 pandemic changed perceptions of cryptocurrencies as a potential alternative to current fiat money? Methods: To evaluate respondents’ opinions, a survey in the form of a questionnaire was conducted. The respondent groups in 2019/2020 were N = 171 (Germany = 143 and Poland = 128), while in 2021, N = 157 (Germany = 95 and Poland = 62). For analytical purposes, statistical analysis using the Z ratio test was used to capture the characteristics of the response distributions and the relationships between them. These two moments in time allowed us to determine whether there were significant changes between opinions before and after COVID-19. Findings & value added: The study’s results showed that while there are significant differences in perceptions of the traditional monetary system and cryptocurrencies due to a variety of factors, the COVID-19 pandemic and the shutdown of economies did not cause statistically significant differences in this regard.
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Open AccessArticle
Ownership Structure and Bank Dividend Policies: New Empirical Evidence from the Dual Banking Systems of MENA Countries
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Hicham Sbai, Slimane Ed-Dafali, Hicham Meghouar and Muhammad Mohiuddin
Int. J. Financial Stud. 2024, 12(3), 63; https://doi.org/10.3390/ijfs12030063 - 28 Jun 2024
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This study investigates the relationship between ownership structures and dividend policies for 46 Islamic and 75 conventional banks from 12 MENA and Asian countries between 2012 and 2020. Logit regression is employed to estimate the regression equation, centering on the moderating impacts of
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This study investigates the relationship between ownership structures and dividend policies for 46 Islamic and 75 conventional banks from 12 MENA and Asian countries between 2012 and 2020. Logit regression is employed to estimate the regression equation, centering on the moderating impacts of the COVID-19 pandemic and national culture. Our findings remain robust as we tackle the endogeneity issue using probit and logistic regression models. Asset growth and GDP growth serve as proxies for investment opportunities. Additionally, dividend per share acts as a proxy for dividend policy. Our findings emphasize how the ownership structure impacts dividend payouts in both banking systems. We observed positive relationships between dividend payouts and foreign ownership, bank size, age, and performance. Conversely, concentration of ownership and leverage negatively influence dividend payouts. The COVID-19 pandemic directly boosts the dividend policy for conventional banks and alters the relationship between foreign ownership and distribution policy in Islamic banks. Specifically, COVID-19 interacts with foreign and state ownership to reduce dividend payouts, but concentration of ownership does not show this effect. This study furnishes evidence affirming the significance of the ownership structure in shaping the dividend payout policy within Islamic and conventional banking. The results maintain their reliability across various estimation approaches. Moreover, this study accounts for the crisis period as a moderating factor influencing dividend payments.
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Open AccessArticle
Financial Development and Economic Growth: Evidence from Low-Income Nations in the SADC Region
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Courage Mlambo
Int. J. Financial Stud. 2024, 12(3), 62; https://doi.org/10.3390/ijfs12030062 - 27 Jun 2024
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The study sought to examine the relationship between financial development and economic growth in low-income nations in the SADC region. Motivated by the observation that numerous states in the SADC region lack adequately developed financial systems, this investigation was undertaken. Many SADC states
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The study sought to examine the relationship between financial development and economic growth in low-income nations in the SADC region. Motivated by the observation that numerous states in the SADC region lack adequately developed financial systems, this investigation was undertaken. Many SADC states are low-income countries, and they remain financially underdeveloped, which could compromise their growth prospects. The analysis was quantitative in nature, and used panel data to achieve its objectives. The data period spanned from 2000 to 2022. The dynamic common correlated effects (DCCE) technique was used for estimation purposes. Results showed that there is a positive relationship between financial development and economic growth. The relationship was also found to be causal: financial development is not only a result of economic growth; it also influences growth. The evidence from the findings supports the notion that financial development is needed to increase the effectiveness of resource allocation and consequently promote growth. This calls on the governments in the countries under investigation to create environments that foster financial development.
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Open AccessArticle
Generalized Loss-Based CNN-BiLSTM for Stock Market Prediction
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Xiaosong Zhao, Yong Liu and Qiangfu Zhao
Int. J. Financial Stud. 2024, 12(3), 61; https://doi.org/10.3390/ijfs12030061 - 27 Jun 2024
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Stock market prediction (SMP) is challenging due to its uncertainty, nonlinearity, and volatility. Machine learning models such as recurrent neural networks (RNNs) have been widely used in SMP and have achieved high performance in terms of “minimum error”. However, in the context of
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Stock market prediction (SMP) is challenging due to its uncertainty, nonlinearity, and volatility. Machine learning models such as recurrent neural networks (RNNs) have been widely used in SMP and have achieved high performance in terms of “minimum error”. However, in the context of SMP, using “least cost” to measure performance makes more sense. False Positive Errors (FPE) can lead to significant trading losses, while False Negative Errors (FNE) can result in missed opportunities. Minimizing FPE is critical for investors. In practice, some errors may result in irreparable losses, so measuring costs based on data is important. In this research, we propose a new method called generalized loss CNN-BiLSTM (GL-CNN-BiLSTM), where the cost of each datum can be dynamically calculated based on the difficulty of the data. We verify the effectiveness of GL-CNN-BiLSTM on Shanghai, Hong Kong, and NASDAQ stock exchange data. Experimental results show that although there is no significant difference in the accuracy and winning rate between GL-CNN-BiLSTM and other methods, GL-CNN-BiLSTM achieves the highest rate of return on the test data.
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Open AccessArticle
AI-Driven Financial Analysis: Exploring ChatGPT’s Capabilities and Challenges
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Li Xian Liu, Zhiyue Sun, Kunpeng Xu and Chao Chen
Int. J. Financial Stud. 2024, 12(3), 60; https://doi.org/10.3390/ijfs12030060 - 27 Jun 2024
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The transformative impact of AI technologies on the financial sector has been a topic of increasing interest. This study investigates ChatGPT’s applications in financial reasoning and analysis and evaluates ChatGPT-4o’s effectiveness and limitations in conducting both basic and complex financial analysis tasks. By
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The transformative impact of AI technologies on the financial sector has been a topic of increasing interest. This study investigates ChatGPT’s applications in financial reasoning and analysis and evaluates ChatGPT-4o’s effectiveness and limitations in conducting both basic and complex financial analysis tasks. By designing a series of multi-step, advanced reasoning tasks and establishing task-specific evaluation metrics, we assessed ChatGPT-4o’s performance compared to human analysts. Results indicate that while ChatGPT-4o demonstrates proficiency in basic and some complex financial tasks, it struggles with deep analytical and critical thinking tasks, especially in specialized finance areas. This study underscores the need for meticulous task formulation and robust evaluation in AI financial applications. While ChatGPT enhances efficiency, integrating it with human expertise is crucial for effective decision-making. Our findings highlight both the potential and limitations of ChatGPT-4o in financial analysis, providing valuable insights for future AI integration in the finance sector.
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Open AccessArticle
Enhancing Forecasting Accuracy in Commodity and Financial Markets: Insights from GARCH and SVR Models
by
Apostolos Ampountolas
Int. J. Financial Stud. 2024, 12(3), 59; https://doi.org/10.3390/ijfs12030059 - 26 Jun 2024
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The aim of this study is to enhance the understanding of volatility dynamics in commodity returns, such as gold and cocoa, as well as the financial market index S&P500. It provides a comprehensive overview of each model’s efficacy in capturing volatility clustering, asymmetry,
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The aim of this study is to enhance the understanding of volatility dynamics in commodity returns, such as gold and cocoa, as well as the financial market index S&P500. It provides a comprehensive overview of each model’s efficacy in capturing volatility clustering, asymmetry, and long-term memory effects in asset returns. By employing models like sGARCH, eGARCH, gjrGARCH, and FIGARCH, the research offers a nuanced understanding of volatility evolution and its impact on asset returns. Using the Skewed Generalized Error Distribution (SGED) in model optimization shows how important it is to understand asymmetry and fat-tailedness in return distributions, which are common in financial data. Key findings include the sGARCH model being the preferred choice for Gold Futures due to its lower AIC value and favorable parameter estimates, indicating significant volatility clustering and a slight positive skewness in return distribution. For Cocoa Futures, the FIGARCH model demonstrates superior performance in capturing long memory effects, as evidenced by its higher log-likelihood value and lower AIC value. For the S&P500 Index, the eGARCH model stands out for its ability to capture asymmetry in volatility responses, showing superior performance in both log-likelihood and AIC values. Overall, identifying superior modeling approaches like the FIGARCH model for long memory effects can enhance risk management strategies by providing more accurate estimates of Value-at-Risk (VaR) and Expected Shortfall (ES). Additionally, the out-of-sample evaluation reveals that Support Vector Regression (SVR) outperforms traditional GARCH models for short-term forecasting horizons, indicating its potential as an alternative forecasting tool in financial markets. These findings underscore the importance of selecting appropriate modeling techniques tailored to specific asset classes and forecasting horizons. Furthermore, the study highlights the potential of advanced techniques like SVR in enhancing forecasting accuracy, thus offering valuable implications for portfolio management and risk assessment in financial markets.
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Open AccessArticle
The Moderating Effect of Ownership Structure on the Relationship between Related Party Transactions and Earnings Quality: Evidence from Saudi Arabia
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Abdulaziz Alsultan and Khaled Hussainey
Int. J. Financial Stud. 2024, 12(3), 58; https://doi.org/10.3390/ijfs12030058 - 26 Jun 2024
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This paper seeks to investigate how earnings quality is affected by related party transactions (RPTs). The research also examines the impact of ownership structure as a moderating variable on this relationship. Panel data with the firm fixed effects model are utilized in the
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This paper seeks to investigate how earnings quality is affected by related party transactions (RPTs). The research also examines the impact of ownership structure as a moderating variable on this relationship. Panel data with the firm fixed effects model are utilized in the paper. A sample of 91 non-financial companies listed on the Saudi Stock Exchange between 2018 and 2022 were included, resulting in 429 observations of company performance over that time period. This paper finds that there is a negative association between RPTs and earnings quality. Furthermore, the study found that the adverse effect of RPTs on earnings quality is intensified when there is managerial ownership and institutional ownership as moderating variables. The study’s conclusions are robust and reliable, as the sensitivity analysis results reinforce those of the basic analysis. To the authors’ knowledge, there is relatively little available evidence on the connection between RPTs and their correlation with earnings quality, particularly in the context of ownership structure acting as a moderating variable. Moreover, the study’s findings hold important implications for enhancing earnings quality in developing economies. To the authors’ knowledge, no studies have been conducted in Saudi Arabia thus far to investigate the impact of ownership concentration, institutional ownership, managerial ownership, foreign ownership, and state ownership on the association between RPTs and earnings quality. Therefore, this paper expands the literature by modeling how the interaction between ownership structure and related party transactions may influence earnings quality. In this way, the authors contribute to the body of knowledge by unveiling a more robust control mechanism, particularly in developing economies with ineffective markets for corporate control.
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Open AccessArticle
Share Repurchases and Corporate Sustainability: Evidence from South Africa
by
Frank Mouton, Carly Londt, Gerhard Cloete, Wynand Hattingh and Gretha Steenkamp
Int. J. Financial Stud. 2024, 12(2), 57; https://doi.org/10.3390/ijfs12020057 - 18 Jun 2024
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This study examined the relationship between share repurchases and corporate sustainability in South Africa during 2011–2019. According to stakeholder theory, companies may feel a sense of obligation to not only distribute returns to shareholders through share repurchases but also to other stakeholders by
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This study examined the relationship between share repurchases and corporate sustainability in South Africa during 2011–2019. According to stakeholder theory, companies may feel a sense of obligation to not only distribute returns to shareholders through share repurchases but also to other stakeholders by investing in environmental, social or governance (ESG)-related projects. Our study, the first of its kind in the context of an emerging economy, reported a positive relationship between share repurchases and corporate sustainability in South Africa (proxied using ESG scores)—specifically social scores. The emphasis on the social, rather than the environmental, dimensions of ESG might result from the emerging economy context, where several societal problems are experienced. The results support stakeholder theory, but increased disclosure pertaining to the social dimension of ESG in years when share repurchases are executed might also provide evidence of ‘social washing’ (when companies employ their integrated report disclosures to paint an overly positive picture of their social responsibility initiatives).
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Open AccessArticle
Financial Decisions Based on Zero-Sum Games: New Conceptual and Mathematical Outcomes
by
Pierpaolo Angelini
Int. J. Financial Stud. 2024, 12(2), 56; https://doi.org/10.3390/ijfs12020056 - 14 Jun 2024
Abstract
All the n possible returns on a financial asset are the components of an element of a linear space over . This paper shows how to transfer all these n possible returns on a one-dimensional straight line. In this research work, two
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All the n possible returns on a financial asset are the components of an element of a linear space over . This paper shows how to transfer all these n possible returns on a one-dimensional straight line. In this research work, two or more than two financial assets are studied. More than two financial assets are always studied in pairs, so they are treated inside the budget set of a given decision-maker. Two univariate financial assets give rise to a bivariate financial asset characterized by a bivariate (two-dimensional) distribution of probability. This research work shows how constrained choices being made by a given decision-maker under conditions of uncertainty and riskiness maximize his utility of an ordinal nature. For this reason, prevision bundles are dealt with. Furthermore, every choice identifies a zero-sum game. Since a specific kind of choice associated with two or more than two objects is investigated, new conceptual and mathematical outcomes related to financial decisions are shown.
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