Financial Risk and Management Reviews

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Online ISSN: 2411-6408
Print ISSN: 2412-3404
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No. 1

Performance Evaluation of Chinese Commercial Banks Based on the Malmquist Index

Pages: 60-66
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Performance Evaluation of Chinese Commercial Banks Based on the Malmquist Index

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DOI: 10.18488/journal.89.2021.71.60.66

Wenjing Xie , Meiling He , Guohui Huang , Lu He , Fan Lin , Wen-Tsao Pan

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An, B., Hou, Z., & Li, C. (2021). Research on the economic benefits of my country's commercial banks——based on the three-stage DEA-tobit Model's Efficiency Measurement and influencing sactors analysis. Journal of Jianghan University, 38(1), 86-128.

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Li, P., & Hu, J. (2015). The dynamic evolution of the efficiency of my country's commercial banks——based on the DEA-Malmquist non-parametric data envelopment analysis method. Journal of Chizhou University, 29(02), 63-65.

Yang, J., Chen, Y., & Tan, C. (2020). Study on the efficiency evaluation of China's banking industry based on the measurement of slack variables. Journal of Hefei University of Technology, 43(9), 1281-1287.

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Wenjing Xie , Meiling He , Guohui Huang , Lu He , Fan Lin , Wen-Tsao Pan (2021). Performance Evaluation of Chinese Commercial Banks Based on the Malmquist Index. Financial Risk and Management Reviews, 7(1): 60-66. DOI: 10.18488/journal.89.2021.71.60.66
Commercial banks have the function of promoting the raising and rational distribution of funds in economic construction in China. Commercial banks are also important in promoting the smooth development of socialist economic activities and the development of national economy and other socialist productive economic activities. At present, one of the biggest difficulties faced by China's commercial banks is the improvement of their efficiency and competitiveness in the face of continuous development and change. This paper establishes the efficiency evaluation model of commercial banks using the DEA-based Malmquist index; it also uses a data envelopment analysis (DEA) to analyze the financial data of nine listed banks in China from 2011 to 2020, studies the efficiency of commercial banks in China, and finds the efficiency differences. Based on empirical research, this paper puts forward corresponding suggestions. The research shows that the key to dealing with this situation depends on the banks’ effective utilization of scientific and technological innovation and technological progress. In order to achieve the goal of innovative and sustainable development of commercial banks, it is necessary to integrate the continuous developments of science and technology with finance.
Contribution/ Originality
The paper's primary contribution is finding that in the face of continuous technological innovation and technological progress, the effective way to improve the performance of Chinese commercial banks is to effectively integrate technology and finance.

Likelihood of Insurance Coverage on Damages Due to Level of Insecurity in Nigeria: Logistic Modeling Approach

Pages: 50-59
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Likelihood of Insurance Coverage on Damages Due to Level of Insecurity in Nigeria: Logistic Modeling Approach

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DOI: 10.18488/journal.89.2021.71.50.59

Orumie Ukamaka Cynthia , Desmond Chekwube Bartholomew , Chukwudi Paul Obite , Kiwu Chizoba Lawrence

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Orumie Ukamaka Cynthia , Desmond Chekwube Bartholomew , Chukwudi Paul Obite , Kiwu Chizoba Lawrence (2021). Likelihood of Insurance Coverage on Damages Due to Level of Insecurity in Nigeria: Logistic Modeling Approach. Financial Risk and Management Reviews, 7(1): 50-59. DOI: 10.18488/journal.89.2021.71.50.59
Insurance serves as a protection against the unexpected and it is one of the most effective risk management tools that protect individuals from being bankrupt due to various contingencies. The binary logistic regression model approach was used to model the described dataset; the model so obtained was statistically significant. All the levels of education were statistically significant in predicting the odds of having insurance cover except for primary education level. Also, employment status and age were statistically significant in predicting the likelihood for insurance cover in Nigeria. The results showed that individuals who move from no formal education to obtain Higher education level are 21.66 times more likely to obtain insurance cover and individuals who move from no formal education to obtain Secondary education level are 2.63 times more likely to obtain insurance cover. The odd ratio is not significant for moving from no formal education to Primary education and therefore should not be interpreted. Further, individuals who move from being unemployed to being employed are more likely to obtain insurance cover. Education has the highest impact in predicting the likelihood for one to have insurance cover in Nigeria. This paper recommends overhauling of the educational system in order to revamp this sector.
Contribution/ Originality
The paper's primary contribution is finding that it assessed the impact of each level of the categorical predictor variables in predicting likelihood of insurance in Nigeria.

Modeling and Estimation of Cumulative Abnormal Return using VECM

Pages: 36-49
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Modeling and Estimation of Cumulative Abnormal Return using VECM

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DOI: 10.18488/journal.89.2021.71.36.49

Sri Ambarwati , Eka Sudarmaji , Herlan Masrio , Ismiriati Nasip

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Sri Ambarwati , Eka Sudarmaji , Herlan Masrio , Ismiriati Nasip (2021). Modeling and Estimation of Cumulative Abnormal Return using VECM. Financial Risk and Management Reviews, 7(1): 36-49. DOI: 10.18488/journal.89.2021.71.36.49
This paper examined how firm-level idiosyncratic risk varies over time. It affected initial public offering (IPO) in the presence of pump-and-dump and flipping trends during the early trading of IPO stocks in the Indonesia Stock Exchange. The paper used the IPO data taken from 181 companies during the year 2015-2019. It revisited the relationship between Cumulative Abnormal Return thirty-days (CAR30D) and Cumulative Abnormal Return five-days (CAR5D) and the Characteristics (IPO Floating shares, IPO Fund and Price) and Macroeconomics Condition (Inflation rate). It also used the cointegration analysis and VECM model. The paper found that Both LnFloat and LnPrice had causal evidence in the long-run causality or short-run with Cumulative Abnormal Return thirty days (CAR30D). We also noted that idiosyncratic risk exposure depends on IPO characteristics. It was crucial for firms going public in hot-issue markets, undervalued IPOs, and high idiosyncratic-risk issues. The model suggested that those series should cointegrate firstly. However, the variable of LnIPOFund had causal evidence in the short-run causality only.
Contribution/ Originality
This paper expected to fill the gap and confirmed what IPO characteristics and macroeconomics variables were significant and could predict that the IPO categorized into hot-issue markets, undervalued IPOs, and high idiosyncratic-risk issues.

A Blockchain Research Review

Pages: 26-35
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A Blockchain Research Review

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DOI: 10.18488/journal.89.2021.71.26.35

Mohammad Tariq Hasan , Mahadi Hasan Miraz , Farhana Rahman Sumi , Shumi Sarkar

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Mohammad Tariq Hasan , Mahadi Hasan Miraz , Farhana Rahman Sumi , Shumi Sarkar (2021). A Blockchain Research Review. Financial Risk and Management Reviews, 7(1): 26-35. DOI: 10.18488/journal.89.2021.71.26.35
Blockchain technology was first introduced as Bitcoin’s underlying technology which is one type of distributed ledger that consists of replicated, shared, and synchronized data over the Internet. This study extends prior studies on blockchain. A fundamental framework for a blockchain research classification was proposed by analyzing 230 articles related to the study of blockchain published in Asia and around the world from 2016 to 2020. The study applies a comprehensive meta-analysis based on findings, literature sources, research objectives, research methods, and context. The objective of the study is to summarize the current blockchain research, its constraints, and future trends. Meta-analysis is characterized by the process of theory construction. It is a powerful tool to analyze the literature in a descriptive form which will guide for further study. Research shows that the study at home is more decentralized, non-systematic, and has failed to gain a certain research depth—Moreover, it lacks quantitative analysis. Future research will focus on digital currency, Internet financing, and the risk of blockchain technology research.
Contribution/ Originality
This study contributes to the existing literature by examining the previous studies in the period of 2016-20 which help us to comprehend the scope of study on blockchain.

Testing the Validity of Arbitrage Pricing Theory: A Study on Dhaka Stock Exchange Bangladesh

Pages: 16-25
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Testing the Validity of Arbitrage Pricing Theory: A Study on Dhaka Stock Exchange Bangladesh

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DOI: 10.18488/journal.89.2021.71.16.25

Syed Mohammad Khaled Rahman , Priyanka Mazumder

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Syed Mohammad Khaled Rahman , Priyanka Mazumder (2021). Testing the Validity of Arbitrage Pricing Theory: A Study on Dhaka Stock Exchange Bangladesh. Financial Risk and Management Reviews, 7(1): 16-25. DOI: 10.18488/journal.89.2021.71.16.25
The purpose of the study was to test the validity of Arbitrage Pricing Theory (APT) in Dhaka Stock Exchange (DSE) of Bangladesh. Secondary data has been used which was composed of observable macroeconomic and stock market variables. Study period was from January 2013 to October 2018, making a total of 70 monthly observations. Study found that interest rate and exchange rate has significant influence but market capitalization and tax rate have insignificant impact on return of DS-30 index. Except exchange rate, other three variables were negatively related with DS-30 index return. 1% increases in exchange rate results 0. 993% increase in stock prices while 1% increases in interest rate results 0. 486% decrease in stock prices and vice-versa. Strong negative correlation was seen between interest rate and stock index return. APT have failed to fully explain the change of DS-30 index return due to presence of two insignificant explanatory variables. This research has practical implications on stock market participants as investors’ optimal strategy largely influenced by precision of asset pricing models. This research has also policy implications for Securities & Exchange Commission, government, and other regulators as findings of the study will assist them to develop more efficient capital market.
Contribution/ Originality
This study contributes to the existing literature of asset pricing model by judging its reliability in Bangladeshi capital market. This study is one of very few studies which have investigated the validity of Arbitrage Pricing Theory in Dhaka Stock Exchange with the help of index of blue chip companies.

Modelling Stock Returns Volatility and Asymmetric News Effect: A Global Perspective

Pages: 1-15
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Modelling Stock Returns Volatility and Asymmetric News Effect: A Global Perspective

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DOI: 10.18488/journal.89.2021.71.1.15

Kingsley Onyekachi Onyele , Emmanuel Chijioke Nwadike

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Kingsley Onyekachi Onyele , Emmanuel Chijioke Nwadike (2021). Modelling Stock Returns Volatility and Asymmetric News Effect: A Global Perspective. Financial Risk and Management Reviews, 7(1): 1-15. DOI: 10.18488/journal.89.2021.71.1.15
This paper modelled stock returns volatility using daily S&P Global 1200 index from 1st September, 2010 to 30th September, 2020. The S&P 1200 represents a free-float weighted stock market index of global equities covering seven (7) regional stock market indices and approximately 70% of the global market capitalization, hence was used to compute global stock returns. The data analysis was carried out with Generalized Autoregressive Conditional Heteroskedasticity (GARCH) techniques. Of the variant GARCH models specified in this study, the symmetric GARCH-M (1,1) and the asymmetric TGARCH (1,1) models were found suitable for the estimation. The findings from the GARCH-M and TGARCH models revealed explosive volatility persistence and strong asymmetric news effect in the global stock market, respectively. The implication of volatility persistence is that current volatility shocks influenced expected returns over a long period. The asymmetric news effect showed that negative news (bad news) spurred stock returns volatility than positive news (good news) especially in 2020 which was due to the COVID-19 crisis as shown by the plot of the conditional variance. These results were consistent with the empirical findings of a number of studies in emerging markets. Hence, the study concludes that the global stock market exhibited high volatility persistence and leverage effect during the sampled period.
Contribution/ Originality
This study contributes to the literature by modelling global stock returns volatility and asymmetric news effect using a new stock index (S&P 1200 global index). The paper contributes the first logical analysis that volatility of S&P 1200 returns is explosive and largely influenced by news available in the global markets.