This paper examines differences in bank efficiency between banks affiliated with single-bank holding companies and those affiliated with multi-bank holding companies by applying a fuzzy ...multi-objective two-stage data envelopment analysis technique. Using a sample of U.S. commercial banks covering 1994–2018, the results show that banks affiliated with multi-bank holding companies are more efficient than those affiliated with single-bank holding companies, suggesting that the former takes advantage of their parents’ resources to enhance their efficiency, consistent with the internal capital market theory. They also show that banks with a powerful CEO exhibit lower efficiency than others. Moreover, there is an inverted U shape relationship between multi-bank holding company structure and bank efficiency, suggesting the presence of an optimal number of multi-bank holding subsidiaries that maximizes efficiency.
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CEKLJ, EMUNI, FIS, FZAB, GEOZS, GIS, IJS, IMTLJ, KILJ, KISLJ, MFDPS, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, SBMB, SBNM, UKNU, UL, UM, UPUK, VKSCE, ZAGLJ
This study examines how carbon performance affects carbon disclosure and how carbon disclosure affects financial performance. With a sample of global firms, the study analyses how relationships ...between carbon disclosure, carbon performance and financial performance vary in institutional contexts. Our results show that carbon disclosure positively affects carbon performance, consistent with the signalling theory. We find that carbon disclosure negatively (positively) affects financial performance in the short-term (long-term). Our findings have significant implications for investors as some firms use carbon disclosure as part of impression management. Our results help regulators to monitor carbon disclosure and assist investors with investment decisions.
•Carbon performance positively affects carbon disclosure.•Carbon disclosure negatively affects financial performance in the short-term.•Carbon disclosure positively affects financial performance in the long-term.•The level of carbon disclosure increases as the firm size increases.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
The influence of the ZrO
2
doping content on the electrical and dielectric properties of soda lime silicate glasses has been investigated through the impedance spectroscopy technique based on ...dielectric measurements carried out in the frequency range from 0.1 MHz to 1 MHz at temperatures ranging between −20°C and 150°C. The experimental results depict an overall decrease in the electrical parameters dielectric constant, loss, and alternating-current (AC) conductivity when ZrO
2
was present in the soda lime glass, revealing a blockage of the easy pathways available for charge carrier (Na
+
) migration, subsequently yielding a reduction in their contribution to the space-charge polarization. This interpretation was also confirmed by the equivalent circuit suggested by ZView software. The resistivity actually increased with increasing ZrO
2
content. This result indicates that the internal structure of the soda lime silicate glass becomes more polymerized, electrically rigid, and resistant to the flow of free charge carriers in the presence of ZrO
2
. Additional measurements using infrared (IR) spectroscopy were used to validate these findings.
Graphical Abstract
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EMUNI, FIS, FZAB, GEOZS, GIS, IJS, IMTLJ, KILJ, KISLJ, MFDPS, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, SBMB, SBNM, UKNU, UL, UM, UPUK, VKSCE, ZAGLJ
This paper provides a new method to define a Euclidean common set of weights (ECSW) in data development analysis (DEA) that (1) allows ranking both efficient and inefficient firms, (2) is more ...realistic in terms of determination of weights, and (3) generates rankings for banks consistent with their credit ratings. We first use DEA to determine the efficient frontier and then estimate a common set of weights that can minimize the Euclidean distance between the firms and that frontier. This process is illustrated by a simple numerical example and is extended to a real-life situation using the Eurozone banking sector. Our ECSW approach outperforms other common set of weights approaches in both numerical and real-life examples, and in terms of providing rankings consistent with banks’ credit ratings.
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CEKLJ, EMUNI, FIS, FZAB, GEOZS, GIS, IJS, IMTLJ, KILJ, KISLJ, MFDPS, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, SBMB, SBNM, UKNU, UL, UM, UPUK, VKSCE, ZAGLJ
5.
Machine learning in finance: A topic modeling approach Aziz, Saqib; Dowling, Michael; Hammami, Helmi ...
European financial management : the journal of the European Financial Management Association,
June 2022, Volume:
28, Issue:
3
Journal Article, Paper
Peer reviewed
Open access
We identify the core topics of research applying machine learning to finance. We use a probabilistic topic modeling approach to make sense of this diverse body of research spanning across multiple ...disciplines. Through a latent Dirichlet allocation topic modeling technique, we extract 15 coherent research topics that are the focus of 5942 academic studies from 1990 to 2020. We find that these topics can be grouped into four categories: Price‐forecasting techniques, financial markets analysis, risk forecasting and financial perspectives. We first describe and structure these topics and then further show how the topic focus has evolved over the last three decades. A notable trend we find is the emergence of text‐based machine learning, for example, for sentiment analysis, in recent years. Our study thus provides a structured topography for finance researchers seeking to integrate machine learning research approaches in their exploration of finance phenomena. We also showcase the benefits to finance researchers of the method of probabilistic modeling of topics for deep comprehension of a body of literature.
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FZAB, GIS, IJS, IZUM, KILJ, NLZOH, NUK, OILJ, PILJ, SAZU, SBCE, SBMB, UL, UM, UPUK
This article investigates the dynamic relationship between political instability and exchange rates in five Arab Spring countries over the period 1992Q1-2016Q4. We include macroeconomic fundamentals ...to identify the transmission channels through which political instability may affect exchange rates. Based on VAR and ARDL models, our results report that political instability is associated with a significant drop in the value of domestic currencies of these countries. Economic growth is found to be the key mechanism channel. We find also that the dependence between variables is more emphasized in the short run than in the long run.
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BFBNIB, IZUM, KILJ, NUK, PILJ, SAZU, UL, UM, UPUK
•The COVID-19 pandemic continues to shake capital markets and the global economy.•The government measures affect investors’ behavior and influences the volatility of stock markets.•Non-medical ...measures are useful in protecting individuals.•Anti-COVID-19 strategies save lives and reduce economic losses.•Stock markets are more volatile during the COVID-19 crisis as compared to the previous global financial crises.
The Covid-19 pandemic continues to disturb the global economy and capital markets. Governments across the globe relentlessly enact health policy measures to contain coronavirus and undertake economic relief programs to reduce the impacts on their economies. This paper examines the effects of Covid-19 government health measures on the volatility of capital markets in East Asian economies. The study applies Monte Carlo type simulations to determine stock price volatility over the period when health policy measures were implemented. The findings indicate that different health policy measures have affected investors’ behavior and caused volatility of stock markets. However, there are country-different impacts on the volatility of these capital markets. The findings provide important insights that are useful when reviewing Covid-19 health policy measures to mitigate the impacts on stock markets.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
The dielectric properties of bio‐hybrid composites based on natural Oil Palm Empty Fruit Bunch (OPEFB), montmorillonite (MMT) and organomodified montmorillonite (OMMT) nanoclay reinforced kenaf ...(KF)/epoxy are reported in this study. The molecular mobility, interfacial adhesion between KF fibers and epoxy resin matrix, and fragility near the glass transition temperature were evaluated using Broadband dielectric spectroscopy over a wide temperature range from 20 to 180°C and a frequency range from 0.1 Hz to 1 MHz. Obtained results indicated different relaxations: the α glass‐rubbery transition and the interfacial polarization between KF/epoxy called Maxwell‐Wagner‐Sillars polarization “MWS(KF/epoxy)” whose amplitude, position and dielectric strength ∆εMWS(kenaf/epoxy) depends on the type of the added nanofillers. ∆εMWS(kenaf/epoxy) decrease for all the measured temperatures while the activation energy Ea of the α‐process and rigidity increase when the nanocharges are introduced. It has been found that the OPEFB, MMT, and OMMT are uniformly distributed in the matrix and act as a link between the KF fibers and the epoxy resin via the formation of new CO and SiOSi bonds.
The molecular mobility, interfacial adhesion (between kenaf fibres and epoxy resin matrix) and fragility near the glass transition temperature were studied for bio‐hybrid composites based on natural Oil Palm Empty Fruit Bunch (OPEFB), montmorillonite (MMT) and organomodified montmorillonite (OMMT) nano‐clay reinforced kenaf/epoxy using Broadband dielectric spectroscopy.
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BFBNIB, FZAB, GIS, IJS, KILJ, NLZOH, NUK, OILJ, SAZU, SBCE, SBMB, UL, UM, UPUK
This study sets out to examine empirically the determinants of voluntary disclosure in the annual reports of 25 listed firms of Doha Securities Market (DSM) in Qatar forming approximately 86% of the ...total firms incorporated in DSM. It also reports the results of the association between company-specific characteristics and voluntary disclosure of the sample companies. A disclosure checklist consisting of 44 voluntary items of information is developed and statistical analysis is performed using multiple regression analysis. The findings indicate that age, size, complexity, and assets-in-place are significant and other variable profitability is insignificant in explaining the level of voluntary disclosure. However, this paper has contributed to the academic literature that firms in the Middle East provide voluntary corporate information which builds a confidence to the investors in general and Qatar in particular.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK, ZRSKP
This study reviewed the artificial intelligence (AI) and machine learning (ML) literature in the finance field. Using a bibliometric approach, we collected 348 articles published in 2011–2021 from ...journals indexed in the Scopus database. Multiple software (RStudio, VOSviewer, and Excel) were employed to analyze the data and depict the most active scientific actors in terms of countries, institutions, sources, documents, and authors. Our review revealed an upward trajectory in the publication trend starting from 2015 and found the application of AI and ML in bankruptcy prediction, stock price prediction, portfolio management, oil price prediction, anti-money laundering, behavioral finance, big data analytics, and blockchain. Moreover, the United States, China, and the United Kingdom were the top three contributors to the literature. Our results provide practical guidance to market participants, especially, fintech and finance companies, on how AI and ML can be used in their decision-making.
•We review the Artificial Intelligence (AI) and Machine learning literature in finance.•We find an upward trajectory in publications on AI in finance since 2015.•We find AI applications in predicting bankruptcy, stock price, and agricultural prices.•Anti-money laundering, behavioral finance, big data analytics are among popular topics in AI applications.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
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