Forthcoming and Online First Articles

International Journal of Financial Engineering and Risk Management

International Journal of Financial Engineering and Risk Management (IJFERM)

Forthcoming articles have been peer-reviewed and accepted for publication but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.

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International Journal of Financial Engineering and Risk Management (4 papers in press)

Regular Issues

  • The chronicle of Greek economy development and prospects since its entry in EMU   Order a copy of this article
    by Charalampos Basdekis, Ioannis Katsampoxakis, Dimitrios Moutsios 
    Abstract: The goal of this paper is to assess the influence of specific macro and market features on the Greek economic crisis and to predict the future output of the Greek economy. Time series data analysis is applied for the period 2002-2021 using a general linear model and a predictive model for examining the future estimated output of the Greek economy, extending till 2025. We estimate four models in order to end up to the optimal model, providing us with the more accurate results. According to the optimal model, there is a strong statistical significance of capital markets, employment and dummy variable, which contribute to the differentiation of the two sub-periods. As far as the forecast is concerned, GDP's evolution shows growth perspectives, current account deficit seems to be reduced, improving Greek competitiveness, investments appear to increase, pushing Greek economy to develop and employment is estimated to move upwards.
    Keywords: economic growth; economic crisis; financial crisis; investments; current account; public debt; bond yields; deficit; employment; capital markets.
    DOI: 10.1504/IJFERM.2022.10052445
     
  • The impact of ethical factors on risk-adjusted return: evidence from the Chinese market   Order a copy of this article
    by Md Robel Bapari 
    Abstract: This paper examines the impact of the ESG score on risk-adjusted return by examining data from the Chinese market for the period 2006 to 2019. CAPM and factor model are applied to investigate the relationship between ESG score and risk-adjusted return. The empirical findings indicate that ESG scores affected portfolio risk-adjusted return significantly. We found that low ESG score portfolios generate higher average monthly returns than high ESG portfolios. Our findings are confirmed by second-stage regression analysis, providing robust evidence and suggesting that ethical ESG factors are a new risk component on top of size, value, and market factors that affect the risk-adjusted return. Overall, our results are useful for investors, and fund managers to assess the performance of their portfolios and the pricing of the assets.
    Keywords: sustainability; ethical; stakeholder; ESG; SRI; China.
    DOI: 10.1504/IJFERM.2022.10054720
     
  • Investigating the interaction between the world's ten largest stock market indices and their influence on the global economy in the period 2018-2022   Order a copy of this article
    by Nikolaos Grouskos, Simeon Papadopoulos 
    Abstract: In this paper, the main characteristics of stock markets and stock market indices are analysed, with reference to the relevant theory and the reasons behind their interdependence. Ten stock market indices from three continents - USA, Europe, and Asia - that together made up the world's largest stock market indices between 2018 and 2022 are analysed for interdependence based on the total value of the shares they represent. The all country world equity index (ACWI), the primary MSCI index used in this comparison, is an international stock market index that tracks share performance globally across more than 40 nations. Daily data for each stock market index were processed and classified to determine the top 10 indices out of the 270 stock markets that had been registered worldwide as of 2022. This study examined Granger-causality and correlation between stock market indices. Additionally, the augmented Dickey-Fuller (ADF) test was utilised to examine index stagnation.
    Keywords: stock market indices; correlation; Dickey-Fuller; ADF; criterion; Granger causality; global economy.
    DOI: 10.1504/IJFERM.2024.10065085
     
  • A descriptive analysis of the variables that determine a currency's potential status as a reserve currency   Order a copy of this article
    by Antonia Trikounaki, Georgios Atsalakis 
    Abstract: This paper presents a descriptive analysis of the variables that determine a currency's potential status as a reserve currency. Specifically, the paper highlights the reserve currencies' characteristics, the variables that contribute to making a currency a reserve currency, the ways these variables are measured, the methodologies used to assess whether a currency has a chance of becoming a reserve one, and how recent technologies affect reserve currencies' variables. Despite the existence of a plethora of scientific articles on reserve currencies, none of them has gathered all the criteria that define a currency, as a reserve currency. This paper aims to fill this gap in the literature. Searches of academic sources in search engines and scientific research databases identified 28 variables that influence a currency's projected status as a reserve currency. These findings were derived mainly via periodic qualitative and quantitative research and are all presented in this paper.
    Keywords: reserve currency; reserve status; dollar; euro; convertibility; currency market; foreign exchange; digital currency.
    DOI: 10.1504/IJFERM.2024.10066396
     

 

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