Using daily returns on the top ten cryptocurrencies and the event study methodology, we estimate cryptocurrency abnormal returns around the 2022 Russian invasion of Ukraine. Our findings indicate ...that except for Binance coin, cryptocurrencies have negatively reacted to the war, but at different scales. For Binance coin, positive abnormal returns are reported. Our findings hold over the post war announcement period and when using alternative measures of abnormal returns based on different asset pricing models.
This study aims to highlight the role of foreign trade in achieving a positive rate of economic growth in Algeria, due to the great importance of foreign trade and its role in the development of the ...national economy. The econometric modeling was adopted to study the impact of foreign trade on economic growth using the Autoregressive Distributed Lag (ARDL) model, and the study has finally demonstrated the existence of a short-term relationship between foreign trade and economic growth for the period (2000-2018) in Algeria.
Transfer pricing is a concern for all countries in the world. In fact, a number of studies around the world haveexamined the determinants of transfer pricing in countries such as Australia and ...Indonesia, but their results arecontradictory as to the determinants of transfer pricing(as an example; the study by Richardson. G and al (2013) of183 Australian listed companies for the year 2009 as well as the study of Atwal.A and al (2020), related toindustrial companies listed on the Indonesia Stock Exchange in 2015-2018). The present study was conducted inMorocco to examine the effect of firm size, profitability, leverage, taxation and multinationality on transfer pricingfor Moroccan multinationals. Thus, it uses secondary data on financial reports or annual reports of companieslisted on the Casablanca Stock Exchange for the period 2016-2019. The sampling technique uses the purposivemethod to obtain 80 samples in the observation period of 2016-2019. In this study, descriptive statistical tests wereconducted and logistic regression test was used to test the hypotheses. As a result of the research, debt andmultinationality have a significant effect on the transfer pricing decision. In contrast, firm size, profitability andtaxation do not have a significant effect on transfer pricing decisions. This work will provide academics with datafor the development of transfer pricing design in Morocco and will also provide the Moroccan tax administrationand companies with information to take into account when setting transfer prices
Les prix de transfert sont devenus une préoccupation pour tous les pays du monde. En fait, un certain nombred'études dans le monde ont examiné les déterminants des prix de transfert dans des pays comme l'Australie etl'Indonésie, mais leurs résultats sont contradictoires quant aux déterminants des prix de transfert (à titre d'exemple;l'étude de Richardson. G et al (2013) de 183 entreprises australiennes cotées pour l'année 2009 ainsi que l'étude deAtwal.A et al., (2020), relative aux entreprises industrielles cotées à la Bourse d'Indonésie en 2015-2018). Laprésente étude a été menée au Maroc pour examiner l'effet de la taille de l'entreprise, de la rentabilité, de l'effet delevier, de la taxe et de la multinationalité sur les prix de transfert des multinationales marocaines. Ainsi, elle utilisedes données secondaires sur les rapports financiers et les rapports annuels des sociétés marocaines cotées à laBourse de Casablanca pour la période 2016-2019. La technique d'échantillonnage utilise la méthode intentionnellepour obtenir 80 échantillons dans la période d'observation de 2016-2019. De plus, des tests statistiques descriptifsont été réalisés ainsi le test de régression logistique a été utilisé pour valider ou rejeter les hypothèses de cetteétude. Il résulte de cette recherche que la dette et la multinationalité ont un effet significatif sur la décision de prixde transfert. En revanche, la taille de l'entreprise, la rentabilité et la fiscalité n'ont pas d'effet significatif sur lesdécisions de prix de transfert. Ce travail fournira aux universitaires des données pour le développement de laconception des prix de transfert au Maroc et fournira également à l'administration fiscale marocaine et auxentreprises des informations à prendre en compte lors de la prise des décisions en matière des prix de transfert.
A novel hybrid option pricing model using a deep learning neural network has been developed. The hybrid model keeps the traditional option pricing model with the same input parameters while ...simultaneously adjusting the model with neural network methods to improve accuracy when applied to real market data, especially in OTM options. The new hybrid model demonstrates superior accuracy compared to both traditional parametric and non-parametric option pricing models for both Call and Put options across all moneyness levels. The empirical results of the hybrid model provide an explanation for the deviation from the Put-Call parity observed in real market data.
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount ...rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adjusting preferences to new economic information is crucial. Thus, after recalling some important properties on progressive utility, this paper first provides an extension of the notion of a consistent progressive utility to a consistent pair of progressive utilities of investment and consumption. An optimality condition is that the utility from the wealth satisfies a second order SPDE of HJB type involving the Fenchel-Legendre transform of the utility from consumption. This SPDE is solved in order to give a full characterization of this class of consistent progressive pair of utilities. An application of this results is to revisit the classical backward optimization problem in the light of progressive utility theory, emphasizing intertemporal-consistency issue. Then we study the dynamics of the marginal utility yield curve, and give example with backward and progressive power utilities.
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount ...rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adjusting preferences to new economic information is crucial. Thus, after recalling some important properties on progressive utility, this paper first provides an extension of the notion of a consistent progressive utility to a consistent pair of progressive utilities of investment and consumption. An optimality condition is that the utility from the wealth satisfies a second order SPDE of HJB type involving the Fenchel-Legendre transform of the utility from consumption. This SPDE is solved in order to give a full characterization of this class of consistent progressive pair of utilities. An application of this results is to revisit the classical backward optimization problem in the light of progressive utility theory, emphasizing intertemporal-consistency issue. Then we study the dynamics of the marginal utility yield curve, and give example with backward and progressive power utilities.
Based on a review of the innovative literature, we first examine theoretically the nature of the relationship between financial development and economic growth while taking into account the role ...played by Islamic finance in orienting investment and spending which takes into account the effective human (education) in the presence of conventional finance. Lastly, we try empirically to discover the influences of Islamic finance as an opportunity for economic growth that can describe the sustainability of any financial system used during the adaptation of this Islamic financial system as a project during a period of time. well determined and therefore the relationship between Islamic financial development on economic growth. Our empirical validation is based on an application on panel data for our MENA region over a long period of 30 years (1990-2019).
En se basant sur une revue de la littérature innovante, nous examinons en premier lieu théoriquement la nature de relation entre le développement financier et la croissance économique tout en tenant compte du rôle joué la finance islamique dans le sens d'orientation des investissements et des dépenses publiques qui prend en considération l'efficace humaine(éducation) en présence de la finance conventionnelle. Nous essayons en dernier lieu empiriquement de découvrir les influences de la finance islamique comme étant une opportunité pour la croissance économique qui peut décrivant une durabilité de n'importe quel système financier utilisé durant l'adaptation de ce système financier islamique comme un projet durant une période bien déterminée et par conséquent la relation entre le développement financier islamique sur la croissance économique. Notre validation empirique est basée une application sur les données de panel pour notre région MENA durant une longue période de 30 ans successifs (1990-2019).
The package fitdistrplus provides functions for fitting univariate distributions to different types of data (continuous censored or non-censored data and discrete data) and allowing different ...estimation methods (maximum likelihood, moment matching, quantile matching and maximum goodness-of-fit estimation). Outputs of fitdist and fitdistcens functions are S3 objects, for which specific methods are provided, including summary, plot and quantile. This package also provides various functions to compare the fit of several distributions to the same data set and can handle to bootstrap parameter estimates. Detailed examples are given in food risk assessment, ecotoxicology and insurance contexts.
The study examines the distribution of overindebtedness across macroeconomic aggregates by empirically verifying the validity or otherwise of Ricardian equivalence as a main limitation to the ...analysis of debt sustainability within the panel of Economic and Monetary Community countries. of Central Africa chosen for the period 2000-2023. From the ARDL approach, parameterized as an error correction model (ECM), the results indicate that the level of private investment remains low in the face of episodes of long-term debt crisis, with insignificant effects of tax policy. However, private investment constitutes a channel of transmission of overindebtedness and rejects the principle of Ricardian equivalence (PER), which favors the analysis of debt sustainability (DSA). The results estimated by Ordinary Least Squares (OLS) and Generalized Least Squares (GLM) reveal that consumption is also a channel of transmission of over-indebtedness. However, the tax base plays an important role in this transmission and validates the PER, which tends to limit the DSA of countries in the sub-region. Overall, these results prove the existence of expectations of economic agents in the face of an increase in taxes intended to repay the loan to the extent that these agents are victims or not of the fiscal illusion according to very specific transmission channels. over-indebtedness. These results are robust to a variety of alternative specifications.
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