Purpose: This paper aims to investigate the quickness, and test the accuracy, of liquidity taking high-frequency traders (HFT). This gives us important insights into a class of market participant who has come to be very influential in present markets. Design/methodology/approach: The authors...

Purpose: The purpose of this study is to suggest a new framework that we call the CIR#, which allows forecasting interest rates from observed financial market data even when rates are negative. In doing so, we have the objective is to maintain the market volatility structure as well as the...

Purpose: This paper aims to examine the relationship between regulation, market discipline and banking distress. Design/methodology/approach: To address the empirical question put forward above, a multivariate logit model is applied to an international sample of 586 banks from 21 European...

Purpose: Private investment in advanced economies contracted sharply during the downturn that followed the global financial crisis. A substantial debt overhang has been one proposed explanation for this development. This paper evaluates the role of debt overhang for the slow recovery in...

Purpose: The purpose of this paper is to explore the impact of financial regulation policy uncertainty (FRPU) on bank profit and risk. Design/methodology/approach: This study applies dynamic panel techniques and uses the Baker et al. (2016) FRPU index and macroeconomic variables to assess...

Purpose: The purpose of this paper is to examine the evolutionary nature of herding phenomenon in the context of a frontier stock market, the Colombo Stock Exchange of Sri Lanka. Design/methodology/approach: This study applies the cross-sectional absolute deviation methodology for daily...

Purpose: This paper aims to undertake a thematic review of academic papers on financial technology (FinTech) to identify three broad categories for the purpose of classifying extant literature. The paper summarizes the research and findings in this emerging field. Thereafter, it identifies the...

Purpose: Interdependency among industries is vital for understanding economic structures and managing industrial portfolios. However, it is hard to precisely model the interconnecting structure among industries. One of the reasons is that the interdependencies show a different pattern in tail...

Purpose: This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios. Design/methodology/approach: The authors apply a series of...

Purpose: In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities. Design/methodology/approach: In this paper, the authors apply the MS-ARMA model on daily returns of Bitcoin (19/04/2013-13/02/2018), Ripple...