Outputs (49)

Revisiting variance gamma pricing: An application to S&P500 index options (2015)
Journal Article
Mozumder, S., Sorwar, G., & Dowd, K. (2015). Revisiting variance gamma pricing: An application to S&P500 index options. International Journal of Financial Engineering, 02(02), Article 1550022. https://doi.org/10.1142/s242478631550022x

This paper reformulates the Lévy–Kintchine formula to make it suitable for modeling the stochastic time-changing effects of Lévy processes. Using the variance gamma (VG) process as an example, it illustrates the dynamic properties of a Lévy process a... Read More about Revisiting variance gamma pricing: An application to S&P500 index options.

Market overreaction and investment strategies (2015)
Journal Article
Han, C., Hwang, S., & Ryu, D. (2016). Market overreaction and investment strategies. Applied Economics, 47(54), 5868-5885. https://doi.org/10.1080/00036846.2015.1058913

We investigated the overreaction of the Korean market in response to shocks in the US stock market, and analysed the dynamic relationship between these two markets since 1996. We found that the KOSPI 200 index futures overreacted to the S&P 500 index... Read More about Market overreaction and investment strategies.

Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence (2015)
Journal Article
Nie, J., Zhang, Z., Zhang, Z., & Zhou, S. (2015). Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence. China & World Economy, 23(3), 97-109. https://doi.org/10.1111/cwe.12116

The present paper studies China's national level currency exposure since 2005 when the country adopted a new exchange rate regime allowing the renminbi (RMB) to move towards greater flexibility. Using generalized autoregressive conditional heterosked... Read More about Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence.

Short‐Horizon Event Study Estimation with a STAR Model and Real Contaminated Events (2015)
Journal Article
Andreou, P., Louca, C., & Savva, C. (2016). Short‐Horizon Event Study Estimation with a STAR Model and Real Contaminated Events. Review of Quantitative Finance and Accounting, 47(3), 673-697. https://doi.org/10.1007/s11156-015-0515-3

We propose a test statistic for nonzero mean abnormal returns based on a Smooth Transition Auto Regressive (STAR) model specification. Estimation of STAR takes into account the probability of contaminated events that could otherwise bias the paramete... Read More about Short‐Horizon Event Study Estimation with a STAR Model and Real Contaminated Events.

Assessing Socio-Economic Development based on Maqāṣid al-Sharīʿah Principles: Normative Frameworks, Methods and Implementation in Indonesia (2015)
Journal Article
Kasri, R., & Ahmed, H. (2015). Assessing Socio-Economic Development based on Maqāṣid al-Sharīʿah Principles: Normative Frameworks, Methods and Implementation in Indonesia. Islamic Economic Studies, 23(1), 73-100. https://doi.org/10.12816/0012264

Despite calls to expand and implement the concept of Maqāṣid al-Sharīʿah, it has been rarely utilized in economics and development studies. This paper fills this gap and proposes a framework to assess socio-economic development of Muslim societies ba... Read More about Assessing Socio-Economic Development based on Maqāṣid al-Sharīʿah Principles: Normative Frameworks, Methods and Implementation in Indonesia.

Transmission Channels of Systemic Risk and Contagion in the European Financial Network (2015)
Journal Article
Paltalidis, N., Gounopoulos, D., Kizys, R., & Koutelidakis, Y. (2015). Transmission Channels of Systemic Risk and Contagion in the European Financial Network. Journal of Banking and Finance, 61(1), S36-S52. https://doi.org/10.1016/j.jbankfin.2015.03.021

We investigate systemic risk and how financial contagion propagates within the euro area banking system by employing the Maximum Entropy method. The study captures multiple snapshots of a dynamic financial network and uses counterfactual simulations... Read More about Transmission Channels of Systemic Risk and Contagion in the European Financial Network.

Ownership, Capital Structure and Financing Decision: Evidence from the UK (2015)
Journal Article
Sun, J., Ding, L., Guo, M., & Li, Y. (2016). Ownership, Capital Structure and Financing Decision: Evidence from the UK. The British Accounting Review, 48(4), 448-463. https://doi.org/10.1016/j.bar.2015.04.001

This paper examines whether and to what degree agency conflicts in ownership structure affect firm leverage ratios and external financing decisions, using a universal sample of UK firms from 1998 to 2012. We use two distinctive measures to capture ow... Read More about Ownership, Capital Structure and Financing Decision: Evidence from the UK.

Determinants of Financial Distress in Large Financial Institutions: Evidence from U.S. Bank Holding Companies (2015)
Journal Article
Zhang, Z., Xie, L., Lu, X., & Zhang, Z. (2016). Determinants of Financial Distress in Large Financial Institutions: Evidence from U.S. Bank Holding Companies. Contemporary Economic Policy, 34(2), 250-267. https://doi.org/10.1111/coep.12105

We investigate determinants of financial distress in large financial institutions based on the Distance-to-Default and Z-Scores measures. Using data of U.S. bank holding companies (BHCs), we find that the housing price index is a consistently signifi... Read More about Determinants of Financial Distress in Large Financial Institutions: Evidence from U.S. Bank Holding Companies.

Do Stock-Financed Acquisitions Destroy Value? New Methods and Evidence (2015)
Journal Article
Golubov, A., Petmezas, D., & Travlos, N. G. (2016). Do Stock-Financed Acquisitions Destroy Value? New Methods and Evidence. Review of Finance, 20(1), 161-200. https://doi.org/10.1093/rof/rfv009

We contribute to the debate on whether stock-financed acquisitions destroy value for shareholders. A stock-financed acquisition is a joint takeover/equity-issue event. Using seasoned equity offering announcement returns, we estimate through linear pr... Read More about Do Stock-Financed Acquisitions Destroy Value? New Methods and Evidence.

The Role of Islamic Microfinance Institutions in Economic Development in Indonesia: A Comparative Empirical Study on Pre and Post Financing States (2015)
Book Chapter
Riwajanti, N., & Asutay, M. (2015). The Role of Islamic Microfinance Institutions in Economic Development in Indonesia: A Comparative Empirical Study on Pre and Post Financing States. In H. El-Karanshawy, A. Omar, T. Khan, S. Ali, H. Izhar, W. Tariq, …B. Al Quradaghi (Eds.), Access to finance and human development : essays on zakah, awqaf and microfinance (55-71). Bloomsbury Qatar Foundation Publishing

Different institutions are engaged in the development efforts in Indonesia by appealing to different sectors of socio-economic life. Among such institutions, BMT (Baitul Maal wa Tamweel) and BPRS (Shariah People Credit Bank) are the main players of t... Read More about The Role of Islamic Microfinance Institutions in Economic Development in Indonesia: A Comparative Empirical Study on Pre and Post Financing States.