All Outputs (599)

On a High-Dimensional Model Representation method based on Copulas (2020)
Journal Article
Tsionas, M. G., & Andrikopoulos, A. (2020). On a High-Dimensional Model Representation method based on Copulas. European journal of operational research, 284(3), 967-979. https://doi.org/10.1016/j.ejor.2020.01.026

This article provides an alternative to High-Dimensional Model Representation using a Copula approximation of an unknown functional form. We apply our methodology in the context of an extensive Monte Carlo study and to a sample of large US commercial... Read More about On a High-Dimensional Model Representation method based on Copulas.

Exploring the development of Islamic banking in Nigeria using an actor-network theory perspective (2020)
Journal Article
Sa'id, H. (2020). Exploring the development of Islamic banking in Nigeria using an actor-network theory perspective. Journal of Islamic Accounting and Business Research, https://doi.org/10.1108/JIABR-02-2018-0027

Purpose – The purpose of this paper is to investigate the evolution of Islamic banking in Nigeria. Design/methodology/approach – The paper adopts a qualitative approach using 25 semi-structured interviews together with documentary analysis in order t... Read More about Exploring the development of Islamic banking in Nigeria using an actor-network theory perspective.

Testing moderation effects using non-parametric regressions (2020)
Journal Article
George Assaf, A., Tsionas, M. G., & Andrikopoulos, A. (2020). Testing moderation effects using non-parametric regressions. International Journal of Hospitality Management, 86, Article 102441. https://doi.org/10.1016/j.ijhm.2019.102441

Testing moderation effects is highly common in the hospitality literature. Most theories in the field depend on variables that alter the nature and direction of the relationship between two variables. While moderation continues to be heavily used, me... Read More about Testing moderation effects using non-parametric regressions.

Savings and the informal sector (2020)
Journal Article
Dobson, S., Ramlogan-Dobson, C., & Strobl, E. (2020). Savings and the informal sector. International review of applied economics, 34(2), 217-234. https://doi.org/10.1080/02692171.2019.1707783

© 2020 Informa UK Limited, trading as Taylor & Francis Group. In many countries the informal sector is a vital source of employment and income. But little is known about the impact of this sector on savings, which are crucial in promoting investmen... Read More about Savings and the informal sector.

Dynamic capabilities and environmental sustainability for emerging economies’ multinational enterprises (2020)
Journal Article
Akhtar, P., Ullah, S., Amin, S. H., Kabra, G., & Shaw, S. (2020). Dynamic capabilities and environmental sustainability for emerging economies’ multinational enterprises. International studies of management & organization, 50(1), 27-42. https://doi.org/10.1080/00208825.2019.1703376

The purpose of this study is to enhance our understanding of how macro (country)—level dynamic capabilities (DC), such as government environmental policies, legal and market requirements, and technological advances, and micro (firm)—level DC, such as... Read More about Dynamic capabilities and environmental sustainability for emerging economies’ multinational enterprises.

Stock liquidity and return distribution: Evidence from the London Stock Exchange (2020)
Journal Article
Wang, A., Hudson, R., Rhodes, M., Zhang, S., & Gregoriou, A. (2020). Stock liquidity and return distribution: Evidence from the London Stock Exchange. Finance research letters, Article 101539. https://doi.org/10.1016/j.frl.2020.101539

We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002-2018. We find a strong relationship between the distribution of returns, as measured by skewness and kur... Read More about Stock liquidity and return distribution: Evidence from the London Stock Exchange.

An empirical study of the cross market efficiency of the index options market: A case study from the Italian derivatives market (2020)
Journal Article
El Kalak, I., & Hudson, R. (2020). An empirical study of the cross market efficiency of the index options market: A case study from the Italian derivatives market. Review of accounting & finance, https://doi.org/10.1108/RAF-11-2016-0184

© 2020, Emerald Publishing Limited. Purpose: This study aims to examine the cross-market efficiency of the FTSE/MIB index options contracts traded on the Italian derivatives market (IDEM) during a period including the financial crisis between 1st Oct... Read More about An empirical study of the cross market efficiency of the index options market: A case study from the Italian derivatives market.

Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX (2019)
Journal Article
Andrikopoulos, A., Dassiou, X., & Zheng, M. (2020). Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX. International review of financial analysis, 68, Article 101437. https://doi.org/10.1016/j.irfa.2019.101437

This paper studies the impact of the United Kingdom's June 2016 referendum to withdraw from European Union membership (“Brexit”) on foreign exchange (FX) exposures. We collect weekly data from 26 FTSE100, 10 IBEX35, and 17 DAX30 nonfinancial multinat... Read More about Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX.

How did order-flow impact bond prices during the European Sovereign Debt Crisis? (2019)
Journal Article
Lin, Z., Hamill, P. A., Li, Y., Sun, Z., & Waterworth, J. (2020). How did order-flow impact bond prices during the European Sovereign Debt Crisis?. International Review of Economics and Finance, 67, 13-24. https://doi.org/10.1016/j.iref.2019.12.008

The impact of trades on price dynamics in the European sovereign debt markets is of significant importance to policy makers and market participants. This paper uses high-frequency quote and transaction data from the MTS European sovereign bond inter-... Read More about How did order-flow impact bond prices during the European Sovereign Debt Crisis?.

Spatial scale and product mix economies in U.S. banking with simultaneous spillover regimes (2019)
Journal Article
Glass, A. J., Kenjegaliev, A., & Kenjegalieva, K. (2020). Spatial scale and product mix economies in U.S. banking with simultaneous spillover regimes. European journal of operational research, 284(2), 693-711. https://doi.org/10.1016/j.ejor.2019.12.036

© 2019 Elsevier B.V. The literature on bank scale economies focuses on the familiar type of returns to scale that are internal to the firm. Using a spatial approach, we analyze returns to scale for banks that are made up of external (i.e., spillover)... Read More about Spatial scale and product mix economies in U.S. banking with simultaneous spillover regimes.

Social media effect, investor recognition and the cross-section of stock returns (2019)
Journal Article
Meng, X., Zhang, W., Li, Y., Cao, X., & Feng, X. (2020). Social media effect, investor recognition and the cross-section of stock returns. International review of financial analysis, https://doi.org/10.1016/j.irfa.2019.101432

Investor recognition affects cross-sectional stock returns. In informationally incomplete markets, investors have limited recognition of all securities, and their holding of stocks with low recognition requires compensation for being imperfectly dive... Read More about Social media effect, investor recognition and the cross-section of stock returns.

The effects of ownership structure, sub-optimal cash holdings and investment inefficiency on dividend policy: evidence from Indonesia (2019)
Journal Article
Moin, A., Guney, Y., & El Kalak, I. (2020). The effects of ownership structure, sub-optimal cash holdings and investment inefficiency on dividend policy: evidence from Indonesia. Review of Quantitative Finance and Accounting, https://doi.org/10.1007/s11156-019-00862-z

We investigate how a firm's decision to hold excessive cash or to overinvest could influence its dividend payout policy in Indonesia. Additionally, we examine the association between corporate ownership structure and cash dividends. Using a data set... Read More about The effects of ownership structure, sub-optimal cash holdings and investment inefficiency on dividend policy: evidence from Indonesia.

Intraday time-series momentum: Evidence from China (2019)
Journal Article
Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Intraday time-series momentum: Evidence from China. Journal of Futures Markets, https://doi.org/10.1002/fut.22084

This study conducts an investigation of intraday time‐series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate that the first half‐hour return positively predicts the last half‐ho... Read More about Intraday time-series momentum: Evidence from China.

Enterprise risk management and firm performance: Role of the risk committee (2019)
Journal Article
Malik, M. F., Zaman, M., & Buckby, S. (2020). Enterprise risk management and firm performance: Role of the risk committee. Journal of Contemporary Accounting and Economics, 16(1), Article 100178. https://doi.org/10.1016/j.jcae.2019.100178

In recent years, there have been increasing efforts in the corporate world to invest in risk management and governance processes. In this paper, we examine the impact of Enterprise Risk Management (ERM) on firm performance by examining whether firm p... Read More about Enterprise risk management and firm performance: Role of the risk committee.

Private management and governance styles in a Japanese public hospital: A story of west meets east (2019)
Journal Article
Uddin, S., Mori, Y., & Shahadat, K. (2020). Private management and governance styles in a Japanese public hospital: A story of west meets east. Social science & medicine, 245, Article 112719. https://doi.org/10.1016/j.socscimed.2019.112719

This paper examines a case of healthcare governance reform in a Japanese hospital to demonstrate how and why physicians may resist NPM ideals in healthcare. We find that the governance reform departed significantly from its idealized form. The intend... Read More about Private management and governance styles in a Japanese public hospital: A story of west meets east.

A note on the Gao et al. (2019) uniform mixture model in the case of regression (2019)
Journal Article
Tsionas, M. G., & Andrikopoulos, A. (2020). A note on the Gao et al. (2019) uniform mixture model in the case of regression. Annals of Operations Research, 289(2), 495-501. https://doi.org/10.1007/s10479-019-03475-w

© 2019, The Author(s). We extend the uniform mixture model of Gao et al. (Ann Oper Res, 2019. https://doi.org/10.1007/s10479-019-03236-9) to the case of linear regression. Gao et al. (Ann Oper Res, 2019. https://doi.org/10.1007/s10479-019-03236-9) pr... Read More about A note on the Gao et al. (2019) uniform mixture model in the case of regression.

Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods (2019)
Journal Article
Stafylas, D., & Andrikopoulos, A. (2020). Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods. Research in international business and finance, 52, Article 101130. https://doi.org/10.1016/j.ribaf.2019.101130

We analyse the drivers of hedge fund performance, focusing simultaneously on fund size, age, lockup period, fund strategies, business cycles and different market conditions, dealing with the omitted variable bias. We use exogenous break points and a... Read More about Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods.

Stakeholder identification and engagement in problem structuring interventions (2019)
Journal Article
Gregory, A. J., Atkins, J. P., Midgley, G., & Hodgson, A. (2020). Stakeholder identification and engagement in problem structuring interventions. European journal of operational research, 283(1), 321-340. https://doi.org/10.1016/j.ejor.2019.10.044

© 2019 The Authors This paper addresses the under-researched issue of stakeholder identification and engagement in problem structuring interventions. A concise framework is proposed to aid critical reflection in the design and reporting of stakeholde... Read More about Stakeholder identification and engagement in problem structuring interventions.

Overnight momentum, informational shocks, and late informed trading in China (2019)
Journal Article
Gao, Y., Han, X., Li, Y., & Xiong, X. (2019). Overnight momentum, informational shocks, and late informed trading in China. International review of financial analysis, 66, 101394. https://doi.org/10.1016/j.irfa.2019.101394

Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the over... Read More about Overnight momentum, informational shocks, and late informed trading in China.

Foreign institutional ownership and demand for accounting conservatism: evidence from an emerging market (2019)
Journal Article
Khalil, M., Ozkan, A., & Yildiz, Y. (2020). Foreign institutional ownership and demand for accounting conservatism: evidence from an emerging market. Review of Quantitative Finance and Accounting, 55(1), 1-27. https://doi.org/10.1007/s11156-019-00834-3

© 2019, The Author(s). This study investigates how foreign institutional ownership interacts with accounting conservatism in an emerging market setting. We posit that weak investor protection and a high degree of information asymmetry between insider... Read More about Foreign institutional ownership and demand for accounting conservatism: evidence from an emerging market.