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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011555743

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25

As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...

Persistent link: https://www.econbiz.de/10011961446

An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28

required to minimize the risk for Asian stock investors during the US financial crisis. In contrast, fewer Chinese stocks were … needed to minimize the risk for Asian stock investors during the Chinese stock market crash. This study provides useful … information to institutional investors, portfolio managers, and policymakers regarding optimal asset allocation and risk …

Persistent link: https://www.econbiz.de/10012388066

Gold against Asian stock markets during the COVID-19 outbreak

Yousaf, Imran; Bouri, Elie; Ali, Shoaib; Azoury, Nehme - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-23

This study examines the safe-haven and hedging roles of gold against thirteen Asian stock markets during the COVID-19 outbreak. During the COVID-19 sub-period, gold is shown to be a strong hedge (diversifier) for the majority (minority) of Asian stock markets; it exhibits the property of a...

Persistent link: https://www.econbiz.de/10012522356

Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return...

Persistent link: https://www.econbiz.de/10012309325

Editorial note : review papers for Journal of Risk and Financial Management (JRFM)

McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-2

The Journal of Risk and Financial Management (JRFM) was inaugurated in 2008 and has continued publishing successfully …

Persistent link: https://www.econbiz.de/10011855244

The AGP model for risk management in agile I.T. projects

Sanjeet Singh; Madaan, Geetika; Amrinder Singh; Sood, Kiran - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-12

The vast majority of articles on risk in agile-managed projects fail to adequately address the interplay between the … agile methodology, the risk management process, and the elements that ultimately determine the success or failure of the … create a risk management model for agile I.T. projects (AGP model). The study sample consists of 1868 valid survey responses …

Persistent link: https://www.econbiz.de/10014305579

The moderating effect of perceived risk on users' continuance intention for FinTech services

Jangir, Kshitiz; Sharma, Vikas; Taneja, Sanjay; … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-16

The study's aim is to investigate how FinTech users' perceived risk influences their continuance intention to use … influenced by perceived usefulness and satisfaction. Furthermore, perceived risk, as a moderator, significantly moderates … continuance intention through satisfaction and satisfaction through confirmation. However, perceived risk was found to have an …

Persistent link: https://www.econbiz.de/10014295456