Khumbulani L. Masuku and Thabo J. Gopane
The study considers time-varying risk premium in investigating the capability of technical analysis (TA) to predict and outperform a buy–hold strategy in Bitcoin exchange rate…
Abstract
Purpose
The study considers time-varying risk premium in investigating the capability of technical analysis (TA) to predict and outperform a buy–hold strategy in Bitcoin exchange rate returns.
Design/methodology/approach
The study tests the technical trading rule of fixed moving average (FMA) on daily actual and equilibrium returns of Bitcoin exchange rates. The equilibrium returns are computed using dynamic CAPM in conjunction with a VAR-MGARCH (1, 1) system. The empirical evaluation of the study uses a case study of four Bitcoin exchange rates (BTC/AUD, BTC/EUR, BTC/JPY and BTC/ZAR) for the period 19 June 2010 to 30 October 2020.
Findings
The findings are consistent with related studies in conventional foreign exchange markets that find TA to be profitable, especially in emerging markets. Nevertheless, the consideration of risk premium has the effect of reducing the abnormal returns. Also, further robust tests reveal that Bitcoin returns possess a momentum effect which prompts further study in efficient market hypothesis research.
Practical implications
The empirical findings of this study should benefit portfolio managers and active investors on the strength of TA to predict returns in a speculative market like the Bitcoin exchange rate market.
Originality/value
The study takes cognisance that cryptocurrency trading is speculative in nature which renders it a good candidate for TA methods. While there are studies that have explored the value of TA in Bitcoin exchange rates, these studies fail to incorporate the effects of time-varying risk premiums, the strength and focus of the current paper.
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Stephan Bales and Hans-Peter Burghof
The paper examines the impact of COVID-19 on bank stock returns over various time scales and frequencies for 36 countries. Moreover, the authors look at the governments' responses…
Abstract
Purpose
The paper examines the impact of COVID-19 on bank stock returns over various time scales and frequencies for 36 countries. Moreover, the authors look at the governments' responses to the corona crisis and examine its impact on bank stock returns.
Design/methodology/approach
The paper applies continuous wavelet transformation to obtain robust estimates of the co-movement (coherency) between confirmed cases and bank stock returns over time and at different time scales. Furthermore, the authors apply fixed effects panel regression to examine the response of bank stocks to domestic COVID-19 policies.
Findings
The results indicate that the number of confirmed COVID-19 cases negatively impacts bank stock returns during different waves of the pandemic in the medium-run. However, there is only little dependence in the very short-run. Moreover, bank stock returns positively react to domestic COVID-19 polices. This demonstrates that governmental interventions not only reduce the spread of COVID-19 but are also able to thereby calm financial markets.
Originality/value
The application of wavelet methods to the field of economics and finance is relatively recent and allows the distinction between short-term and long-term effects. Standard econometric methods, in contrast, only operate within the time domain. This paper combines wavelet methods with conventional econometrics to answer the research question.
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Md. Bokhtiar Hasan, Md Mamunur Rashid, Md. Naiem Hossain, Mir Mahmudur Rahman and Md. Ruhul Amin
This research explores the spillovers and portfolio implications for green bonds and environmental, social and governance (ESG) assets in the context of the rapidly expanding…
Abstract
Purpose
This research explores the spillovers and portfolio implications for green bonds and environmental, social and governance (ESG) assets in the context of the rapidly expanding trend in green finance investments and the need for a green recovery in the post-COVID-19 era.
Design/methodology/approach
This study utilizes Diebold and Yilmaz’s (2014) spillover method and portfolio strategies (hedge ratio, optimal weights and hedging effectiveness) for the data starting from February 29, 2012, to March 14, 2022.
Findings
The study’s findings reveal that the lower volatility spillover is evidenced between the green bonds and ESG stocks during tranquil and turbulent periods (e.g. COVID-19 and Russia-Ukraine War). Furthermore, hedging costs are lower both in normal times and during economic slumps. Investing the bulk of the funds in green bonds makes it possible to achieve maximum hedging effectiveness between the S&P green bond (GB) and the S&P 500 ESG.
Practical implications
Both investors and policymakers may use these findings to make wise investment and policy choices to achieve post-COVID environmental sustainability.
Originality/value
Unlike previous research, this is the first to explore the interconnectedness among the major global and country-specific green bonds and ESG assets. The major findings of this study about the lower volatility spillovers and hedging costs between green bonds and ESG assets during the tranquil and turbulent periods may contribute to the post-COVID investment portfolio for environmental sustainability.
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Hashem Alshurafat, Mohannad Obeid Al Shbail and Ebrahim Mansour
This review aims to provide an understanding of the strengths and weaknesses of forensic accounting education and profession.
Abstract
Purpose
This review aims to provide an understanding of the strengths and weaknesses of forensic accounting education and profession.
Design/methodology/approach
This paper reviews published forensic accounting studies to explore forensic accounting strengths and weaknesses.
Findings
The strengths of forensic accounting are its benefits to students and accounting professionals, the significant need and increasing demand, the new career channels and the reduction of fraud. The weakness factors are the lack of regulation, the lack of control over the profession entry, the lack of agreement on how to teach forensic accounting, the lack of specialized research journals, the misconception of its intrinsic aim, the lack of highly qualified practitioners and educators and the lack of public recognition and occupation reputation.
Practical implications
It is hoped that this structured investigation of the factors relevant to the current and future status of forensic accounting education and profession will provide a sufficient overview of the critical issues and concerns that are important to be known for understanding and advancing the vital application of forensic accounting on the Socio-Economic Development. It is anticipated that this paper has an impact on future policy that ultimately contributes to improving business and limit fraud incidents, thus, it can contribute to business and socio-economic development.
Originality/value
The literature on forensic accounting is extensive and varied. However, there is a lack of comprehensive understanding of the strengths and weaknesses of forensic accounting. This study provided policymakers with a comprehensive understanding of forensic accounting.
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Ramazan Erturgut and Hasan Emin Gürler
Human resources can differentiate firms from their competitors or directly affect the success or failure of firms. As in many sectors, there is a need for qualified employees in…
Abstract
Human resources can differentiate firms from their competitors or directly affect the success or failure of firms. As in many sectors, there is a need for qualified employees in the logistics sector, which is of great importance for the national economies. Qualified employees in this sector contribute to the success of the companies and the development of the industry. In this study, it is aimed to reveal the qualifications and characteristics of the labour force needed by logistics companies. It was also aimed to show the impact of COVID-19 on logistics job ads. For this purpose, a total of 1,410 job vacancy postings (before COVID-19) and a total of 1,700 job vacancy postings (during COVID-19) were searched on the kariyer.net website with the word “logistics” and analysed by content analysis method. As a result, it was found that the most advertised province was Istanbul in both periods, the most looked up experience requirement in the candidates was 1-5 years in both periods, the opportunities provided to the candidates (transportation, food and beverage, career, social activity) were not mentioned much in both periods. This study reveals the status of logistics job postings in the period before COVID-19 and during COVID-19. It was also aimed to show the impact of COVID-19 on logistics job ads. We investigated whether the logistics employee demand has changed and whether the pandemic is affecting workforce characteristics. This is the first empirical analysis of the impact of COVID-19 on logistics vacancy postings.
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Hassanudin Mohd Thas Thaker and Abdollah Ah Mand
The volatility of bitcoin (BTC) and time horizon is the center point for investment decisions. However, attention is not often drawn to the relationship between BTC and equity…
Abstract
The volatility of bitcoin (BTC) and time horizon is the center point for investment decisions. However, attention is not often drawn to the relationship between BTC and equity indices. Thus, the purpose of this paper is to investigate the volatility and time frequency domain of BTC with stock markets.
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While an increasing number of investors value socially responsible investment practices, Bitcoin has faced criticism for its carbon footprint resulting from excessive mining power…
Abstract
Purpose
While an increasing number of investors value socially responsible investment practices, Bitcoin has faced criticism for its carbon footprint resulting from excessive mining power consumption. By examining Bitcoin’s interconnectedness with environmental, social and governance (ESG) equities, this study aims to construct a socially responsible investment strategy for cypto investors.
Design/methodology/approach
This study uses wavelet analysis and a time-varying parameter vector autoregressive (TVP-VAR) model to uncover the interdependence between ESG equities and Bitcoin. This study computes the optimal ratio, showing that Bitcoin significantly reduces portfolio risk when combined with green stocks.
Findings
The results show that co-movements between green stocks and Bitcoin are low, indicating that they are suitable combinations for portfolio diversification. From an environmental perspective, this investment strategy offers a theoretical solution to mitigate the negative impacts associated with Bitcoin mining. It aims to address the dilemma faced by sustainability-conscious investors, who must navigate the economic payoff of Bitcoin against their commitment to green investment principles.
Practical implications
The findings can provide valuable insights for policymakers seeking to develop strategies that promote sustainable investments among crypto investors.
Originality/value
Research on ethical investment practices in the cryptocurrency market remains in the early stages of development. Ethical investors can benefit from including Bitcoin in their ESG equity portfolios.