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COVID 19 and bank profitability in low income countries : the case of Uganda

Katusiime, Lorna - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-19

-performing loans ratio, liquidity ratio, and market sensitivity risk, while the Treasury Bill interest rate and lending rate have a …

Persistent link: https://www.econbiz.de/10012799142

Cryptocurrencies, diversification and the COVID-19 pandemic

Allen, David E. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25

This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index using a variety of parametric...

Persistent link: https://www.econbiz.de/10013161685

Dynamic conditional bias-adjusted carry cost rate futures hedge ratios

Leistikow, Dean; Tang, Yi; Zhang, Wei - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

This paper proposes new dynamic conditional futures hedge ratios and compares their hedging performances along with those of common benchmark hedge ratios across three broad asset classes. Three of the hedge ratios are based on the upward-biased carry cost rate hedge ratio, where each is...

Persistent link: https://www.econbiz.de/10012813322

Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index

Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13

Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...

Persistent link: https://www.econbiz.de/10014284076

Testing for causality-in-mean and variance between the UK housing and stock markets

Toyoshima, Yuki - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10

This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing...

Persistent link: https://www.econbiz.de/10011856853

Price discovery of a speculative asset : evidence from a Bitcoin exchange

Ghysels, Eric; Nguyen, Giang H. - In: Journal of risk and financial management : JRFM 12 (2019) 4/164, pp. 1-26

We examine price discovery and liquidity provision in the secondary market for bitcoin-an asset with a high level of … volatility environment, aggressive orders seem to be more attractive to informed agents, but market liquidity migrates outward in …

Persistent link: https://www.econbiz.de/10012171450

Dynamics of funding liquidity and risk-taking : evidence from commercial banks

Abbas, Faisal; Ali, Shoaib; Yousaf, Imran; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-16

The purpose of this study is to investigate the impact of funding liquidity risk on the banks' risk-taking behavior. To … funding liquidity increases the banks' risk-taking of US commercial banks. Furthermore, banks with higher deposits are less … findings infer that increases in bank funding liquidity increase both risk-weighted assets and liquidity creation, and deposit …

Persistent link: https://www.econbiz.de/10012605946

Estimating the risk of financial distress using a multi-layered governance criterion : insights from Middle Eastern and North African banks

Gerged, Ali Meftah; Marie, Mohamed; Elbendary, Israa - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-22

In this study, we explored the association of bank-level governance and state-level governance with the likelihood of banks' financial distress in developing economies. Using a panel data sample of 954 bank-year observations of 106 conventional banks across 14 Middle Eastern and North African...

Persistent link: https://www.econbiz.de/10014284346

Oil market factors as a source of commonality in liquidity in international equity markets

Alhassan, Abdulrahman; Naka, Atsuyuki; Noman, Abdullah - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-33

liquidity in equity markets as a priced factor. The primary objective of this paper is to introduce the oil market as a … potential source of commonality in liquidity. We hypothesize that conditions specific to the oil market can contribute to … commonality in liquidity affecting both supply-side and demand-side factors because of its importance to the global economy in …

Persistent link: https://www.econbiz.de/10012626765

Validation of the Merton distance to the default model under ambiguity

Chen, Wei-ling; So, Leh-chyan - In: Journal of risk and financial management : JRFM 7 (2014) 1, pp. 13-27

Bharath and Shumway (2008) provide evidence that shows that it is the functional form of Merton’s (1974) distance to default (DD) model that makes it useful and important for predicting defaults. In this paper, we investigate whether the default predictability of the Merton DD model would be...

Persistent link: https://www.econbiz.de/10011553338