M.L. Nasir, R.I. John, S.C. Bennett and D.M. Russell
Neural network topology selection refers to a systematic procedure for selecting between competing models. Naturally, it is regarded as a key aspect in optimisation and…
Abstract
Neural network topology selection refers to a systematic procedure for selecting between competing models. Naturally, it is regarded as a key aspect in optimisation and replicability of neural network performance. When constructing neural network topologies, it is necessary to determine from the outset the general taxonomy of the neural network architectures to be constructed. The taxonomy considered in this study is the general taxonomy of time‐varying patterns which subsumes many existing architectures in the literature and points to several promising neural network architectures that have yet to be examined. The context of the problem is that choosing the right neural network topology for use in a particular domain such as corporate bankruptcy prediction with optimum generalisation performance is not, in any case, a trivial problem. The results of experiments presented in this paper would serve as a baseline against which to select between two competing architectures.
Details
Keywords
M.L. Nasir, R.I. John, S.C. Bennett, D.M. Russell and A Patel
An appropriate use of neural computing techniques is to apply them to corporate bankruptcy prediction, where conventional solutions can be hard to obtain. Having said that…
Abstract
An appropriate use of neural computing techniques is to apply them to corporate bankruptcy prediction, where conventional solutions can be hard to obtain. Having said that, choosing an appropriate Artificial Neural Network topology (ANN) for predicting corporate bankruptcy would remain a daunting prospect. The context of the problem is that there are no fixed rules in determining the ANN structure or its parameter values, a large number of ANN topologies may have to be constructed with different structures and parameters before determining an acceptable model. The trial‐and‐error process can be tedious, and the experience of the ANN user in constructing the topologies is invaluable in the search for a good model. Yet, a permanent solution does not exist. This paper identifies a non trivial novel approach for implementing artificial neural networks for the prediction of corporate bankruptcy by applying inter‐connected neural networks. The proposed approach is to produce a neural network architecture that captures the underlying characteristics of the problem domain. The research primarily employed financial data sets from the London Stock Exchange and Jordans financial database of major public and private British companies. Early results indicate that an ANN appears to outperform the traditional approach in forecasting corporate bankruptcy.
Details
Keywords
Maria Ijaz Baig, Elaheh Yadegaridehkordi and Mohd Hairul Nizam Bin Md Nasir
This research aimed to analyze and prioritize the factors affecting sustainable marketing (SM) and sustainable operation (SO) of manufacturing small and medium-sized enterprises…
Abstract
Purpose
This research aimed to analyze and prioritize the factors affecting sustainable marketing (SM) and sustainable operation (SO) of manufacturing small and medium-sized enterprises SMEs through big data adoption (BDA).
Design/methodology/approach
The technology-organization-environment (TOE) framework was used as a theoretical base and data were gathered from manufacturing SMEs in Malaysia. The 159 questionnaire replies of chief executive officer (CEO)/managers were analyzed using a hybrid approach of structural equation modeling-artificial neural network (SEM-ANN).
Findings
The findings of this study showed that perceived benefits (PB), technological complexity (TC), organization's resources (OR), organization's management support (OMS) and government legislation (GL) are the factors that influence BDA and promote SM and SO. The findings of ANN showed that a perceived benefit is the most important factor, followed by OMS.
Practical implications
The findings of this study can assist SMEs managers in making strategic decisions and improving sustainable performance and thus contribute to overall economic development.
Originality/value
The manufacturing industry is under immense pressure to integrate sustainable practices for long-term success. BDA can assist industries in aligning industries' operational capabilities. The majority of the current research have mainly emphasized on BDA in corporations. However, the associations between BDA and sustainable performance of manufacturing SMEs have been less explored. To address this issue, this study developed a theoretical model and examined the influence of BDA on SM and SO of manufacturing SMEs. Meanwhile, the hybrid methodological approach can help to uncover both linear and non-linear relationships better.
Details
Keywords
Sheereen Fauzel, Verena Tandrayen-Ragoobur and Shashi Jeevita Matadeen
The service sector has witnessed an important transformation due to technological disruption. The widespread adoption of digital technologies has enabled service providers to…
Abstract
The service sector has witnessed an important transformation due to technological disruption. The widespread adoption of digital technologies has enabled service providers to automate various tasks and processes. Blockchain technology, for instance, has transformed payments, remittances, and financial transactions in the financial services sector by providing greater transparency and security. The travel and hospitality industry has also seen changes through online booking platforms, review aggregators, and AI-driven recommendations. Other activities like entertainment, education, logistics, and transportation as well as retail have been disrupted by technologies leading to increased accessibility and efficiency and shaping the service economy into a customer-centric business model. This literature survey reviews the technological disruption in the services sector, including the health, education, financial, transport, tourism, and communications sectors. Across the subsectors reviewed, an average of 30 articles were reviewed and analyzed during the period 2000–2023.
Details
Keywords
Manpreet Kaur, Amit Kumar and Anil Kumar Mittal
In past decades, artificial neural network (ANN) models have revolutionised various stock market operations due to their superior ability to deal with nonlinear data and garnered…
Abstract
Purpose
In past decades, artificial neural network (ANN) models have revolutionised various stock market operations due to their superior ability to deal with nonlinear data and garnered considerable attention from researchers worldwide. The present study aims to synthesize the research field concerning ANN applications in the stock market to a) systematically map the research trends, key contributors, scientific collaborations, and knowledge structure, and b) uncover the challenges and future research areas in the field.
Design/methodology/approach
To provide a comprehensive appraisal of the extant literature, the study adopted the mixed approach of quantitative (bibliometric analysis) and qualitative (intensive review of influential articles) assessment to analyse 1,483 articles published in the Scopus and Web of Science indexed journals during 1992–2022. The bibliographic data was processed and analysed using VOSviewer and R software.
Findings
The results revealed the proliferation of articles since 2018, with China as the dominant country, Wang J as the most prolific author, “Expert Systems with Applications” as the leading journal, “computer science” as the dominant subject area, and “stock price forecasting” as the predominantly explored research theme in the field. Furthermore, “portfolio optimization”, “sentiment analysis”, “algorithmic trading”, and “crisis prediction” are found as recently emerged research areas.
Originality/value
To the best of the authors’ knowledge, the current study is a novel attempt that holistically assesses the existing literature on ANN applications throughout the entire domain of stock market. The main contribution of the current study lies in discussing the challenges along with the viable methodological solutions and providing application area-wise knowledge gaps for future studies.
Details
Keywords
Izabela Pruchnicka-Grabias, Iwona Piekunko-Mantiuk and Scott W. Hegerty
The Polish economy has undergone major challenges and changes over the past few decades. The country's trade flows, in particular, have become more firmly tied to the country’s…
Abstract
Purpose
The Polish economy has undergone major challenges and changes over the past few decades. The country's trade flows, in particular, have become more firmly tied to the country’s Western neighbors as they have grown in volume. This study examines Poland's trade balances in ten Standard International Trade Classification (SITC) sectors versus the United States of America, first testing for and isolating structural breaks in each time series. These breaks are then included in a set of the cointegration models to examine their macroeconomic determinants.
Design/methodology/approach
Linear and nonlinear and nonlinear autoregressive distributed lag models, both with and without dummies corresponding to structural breaks, are estimated.
Findings
One key finding is that incorporating these breaks reduces the significance of the real exchange rate in the model, supporting the hypothesis that this variable already incorporates important information. It also results in weaker evidence for cointegration of all variables in certain sectors.
Research limitations/implications
This study looks only at one pair of countries, without any third-country effects.
Originality/value
An important country pair's trade relations is examined; in addition, the real exchange rate is shown to incorporate economic information that results in structural changes in the economy. The paper extends the existing literature by conducting an analysis of Poland's trade balances with the USA, which have not been studied in such a context so far. A strong point is a broad methodology that lets compare the results the authors obtained with different kinds of models, both linear and nonlinear ones, with and without structural breaks.
Details
Keywords
Mohamad H. Shahrour, Ryan Lemand and Mathis Mourey
This paper examines the volatility spillover effects from traditional financial assets to cryptocurrency markets and vice versa. It aims to provide insights into the dynamic…
Abstract
Purpose
This paper examines the volatility spillover effects from traditional financial assets to cryptocurrency markets and vice versa. It aims to provide insights into the dynamic interconnectedness of these markets.
Design/methodology/approach
This paper employs the time-varying parameter vector autoregression technique to examine the volatility spillover among the crypto markets (across leading cryptocurrencies such as Bitcoin (BTC), USD Tether, NEAR Protocol (NEAR), Immutable and Dogecoin) and traditional financial instruments (Treasury Bills (TBILL) and Volatility Index).
Findings
The results reveal significant bidirectional volatility spillovers between cryptocurrencies and traditional financial assets. NEAR and BTC act as a major transmitter of volatility, both influencing others significantly (71.63 and 68.17%, respectively) and being influenced by others (54.74 and 62.3%, respectively). TBILL and Grayscale Bitcoin Trust ETF are the largest net receivers of volatility, indicating a higher dependency on other assets’ volatility.
Practical implications
Understanding the volatility spillover dynamics can aid investors in portfolio diversification and risk management. The findings provide actionable insights for constructing portfolios that include both cryptocurrencies and traditional financial assets, allowing for more informed investment decisions under volatile market conditions.
Originality/value
This paper contributes to the literature by analyzing volatility spillovers among traditional financial markets and various major cryptocurrencies. It offers a framework for assessing how shocks in one market or cryptocurrency can propagate to others, thereby enhancing the understanding of interconnectedness between markets. This understanding improves our ability to risk manage modern portfolios, which increasingly include significant alternative assets like cryptocurrencies.
Details
Keywords
Mutiara Panjaitan, Agus Sardjono and Harsanto Nursadi
The purpose of the study is to find a design for strengthening and optimizing business investment policies in the Indonesian palm oil plantation sector.
Abstract
Purpose
The purpose of the study is to find a design for strengthening and optimizing business investment policies in the Indonesian palm oil plantation sector.
Design/methodology/approach
This study uses a normative legal research approach with a written legal approach that examines the formulation of laws in reality and palm oil investment policies. Content analysis of legal materials and policies on palm oil is used to analyze data and answer the formulation of the proposed research problems.
Findings
Palm oil business actors in Indonesia still face several obstacles and challenges that require serious efforts to resolve. These challenges and obstacles include fulfilling land legality, international policies that are increasingly burdensome for palm oil business actors, and the discovery of scattered and overlapping palm oil policies caused by sectoral egos across ministries and institutions. These challenges lead to uncertainty in licensing and result in an unconducive investment climate.
Research limitations/implications
Limitations in data availability require further research on optimizing investment policies in the Indonesian palm oil sector in a sustainable manner.
Originality/value
The novelty of the study is to find the crucial patterns for solving problems in the palm oil plantation sector to produce business investment policies that have long-term impacts. This study solves the problems of the palm oil industry from upstream to downstream through policy harmonization and the establishment of the Indonesian Palm Oil Authority Board.
Details
Keywords
Yousra Trichilli, Hana Kharrat and Mouna Boujelbène Abbes
This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax…
Abstract
Purpose
This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax gold as a diversifier and hedge asset.
Design/methodology/approach
This paper examines the volatility spillover between Pax gold and fiat currencies using the framework of wavelet analysis, BEKK-GARCH models and Range DCC-GARCH. Moreover, this paper proposes to use the covariance and variance structure obtained from the new range DCC-GARCH framework to estimate the time-varying optimal hedge ratios, the optimal weighs and the hedging effectiveness.
Findings
Wavelet coherence method reveals that, at low frequency, large zone of co-movements appears for the pairs Pax gold/EUR, Pax gold/JPY and Pax gold/RUB. Further, the BEKK results show unidirectional (bidirectional) transmission effects between Pax gold and EUR, GBP, JPY and CNY (INR, RUB) fiat currencies. Moreover, the Range DCC results show that the Pax gold and the fiat currency returns are weakly correlated with low coefficients close to zero. Thus, Pax gold seems to serve as a safe haven asset against the systematic risk of fiat currency markets. In addition, the results of optimal weights show that rational investor should invest more in Pax gold and less in fiat currencies. Concerning the hedge ratios results, the findings reveal that the INR (JPY) fiat currency appears to be the most expensive (cheapest) hedge for the Pax-gold market. However, the JPY’s fiat currency appears to be the cheapest one. As for hedging effectiveness results, the authors found that hedging strategies including fiat currencies–Pax gold pairs are most likely to sharply decrease the portfolio’s risk.
Practical implications
A comprehensive understanding of the relationship between Pax Gold and fiat currencies is crucial for refining portfolio strategies involving cryptocurrencies. This research underscores the significance of grasping volatility transmissions between these currencies, providing valuable insights to guide investors in their decision-making processes. Moreover, it encourages further exploration into the interdependencies of digital currencies. Additionally, this study sheds light on effective contagion risk management, particularly during crises such as Covid-19 and the Russia–Ukraine conflict. It underscores the role of Pax Gold as a safe-haven asset and offers practical guidance for adjusting portfolios across various economic conditions. Ultimately, this research advances our comprehension of Pax Gold’s risk-return profile, positioning it as a potential hedge during periods of uncertainty, thereby contributing to the evolving literature on cryptocurrencies.
Originality/value
This study’s primary value lies in its pioneering empirical examination of the time-varying correlations and scale dependence between Pax Gold and fiat currencies. It goes beyond by determining optimal time-varying hedge ratios through the innovative Range-DCC-GARCH model, originally introduced by Molnár (2016) and distinguished by its incorporation of both low and high prices. Significantly, this analysis unfolds within the unique context of the Covid-19 pandemic and the Russian–Ukrainian conflict, marking a novel contribution to the field.
Details
Keywords
Peterson Owusu Junior and Ngo Thai Hung
This paper investigates the probable differential impact of the confirmed cases of COVID-19 on the equities markets of G7 and Nordic countries to ascertain possible…
Abstract
Purpose
This paper investigates the probable differential impact of the confirmed cases of COVID-19 on the equities markets of G7 and Nordic countries to ascertain possible interdependencies, diversification and safe haven prospects in the era of the COVID-19 pandemic over the short-, intermediate- and long-term horizons.
Design/methodology/approach
The authors apply a unique methodology in a denoised frequency-domain entropy paradigm to the selected equities markets (Li et al. 2020).
Findings
The authors’ findings reinforce the operability of the entrenched market dynamics in the COVID-19 pandemic era. The authors divulge that different approaches to fighting the pandemic do not necessarily drive a change in the deep-rooted fundamentals of the equities market, specifically for the studied markets. Except for an extreme case nearing the end (start) of the short-term (intermediate-term) between Iceland and either Denmark or the US equities, there exists no potential for diversification across the studied markets, which could be ascribed to the degree of integration between these markets.
Practical implications
The authors’ findings suggest that politicians should pay closer attention to stock market fluctuations as well as the count of confirmed COVID-19 cases in their respective countries since these could cause changes to market dynamics in the short-term through investor sentiments.
Originality/value
The authors measure the flow of information from COVID-19 to G7 and Nordic equities using the entropy methodology induced by the Improved Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (ICEEMDAN), which is a data-driven technique. The authors employ a larger sample period as a result of this, which is required to better comprehend the subtleties of investor behaviour within and among economies – G7 and Nordic geographical blocs – which largely employed different approaches to fighting the COVID-19 pandemic. The authors’ focus is on diverging time horizons, and the ICEEMDAN-based entropy would enable us to measure the amount of information conveyed to account for large tails in these nations' equity returns. Furthermore, the authors use a unique type of entropy known as Rényi entropy, which uses suitable weights to discern tailed distributions. The Shannon entropy does not account for the fact that financial assets have fat tails. In a pandemic like COVID-19, these fat tails are very strong, and they must be accounted for.