Financial Assets Research Articles

Explosive Episodes and Time-Varying Volatility: A New MARMA–GARCH Model Applied to Cryptocurrencies

Financial assets often exhibit explosive price surges followed by abrupt collapses, alongside persistent volatility clustering. Motivated by these features, we introduce a mixed causal–noncausal invertible–noninvertible autoregressive moving average generalized autoregressive conditional heteroskedasticity (MARMA–GARCH) model. Unlike standard ARMA processes, our model admits roots inside the unit disk, capturing bubble-like episodes and speculative feedback, while the GARCH component explains time-varying volatility. We propose two estimation approaches: (i) Whittle-based frequency-domain methods, which are asymptotically equivalent to Gaussian likelihood under stationarity and finite variance, and (ii) time-domain maximum likelihood, which proves more robust to heavy tails and skewness—common in financial returns. To identify causal vs. noncausal structures, we develop a higher-order diagnostics procedure using spectral densities and residual-based tests. Simulation results reveal that overlooking noncausality biases GARCH parameters, downplaying short-run volatility reactions to news (α) while overstating volatility persistence (β). Our empirical application to Bitcoin and Ethereum enhances these insights: we find significant noncausal dynamics in the mean, paired with pronounced GARCH effects in the variance. Imposing a purely causal ARMA specification leads to systematically misspecified volatility estimates, potentially underestimating market risks. Our results emphasize the importance of relaxing the usual causality and invertibility assumption for assets prone to extreme price movements, ultimately improving risk metrics and expanding our understanding of financial market dynamics.

MASIP: A Methodology for Assets Selection in Investment Portfolios

This paper proposes a Methodology for Assets Selection in Investment Portfolios (MASIP) focused on creating investment portfolios using heuristic algorithms based on the Markowitz and Sharpe models. MASIP selects and allocates financial assets by applying heuristic methods to accomplish three assignments: (a) Select the stock candidates in an initial portfolio; (b) Forecast the asset values for the short and medium term; and (c) Optimize the investment portfolio by using the Sharpe metric. Once MASIP creates the initial portfolio and forecasts its assets, an optimization process is started in which a set with the best weights determines the participation of each asset. Moreover, a rebalancing process is carried out to enhance the portfolio value. We show that the improvement achieved by MASIP can reach 147% above the SP500 benchmark. We use a dataset of SP500 to compare MASIP with state-of-the-art methods, obtaining superior performance and an outstanding Sharpe Ratio and returns compared to traditional investment approaches. The heuristic algorithms proved effective in asset selection and allocation, and the forecasting process and rebalancing contributed to further improved results.

Personality Traits and Risk Investment Decisions: An Examination Based on Microdata from Chinese Household Finance

Personality Traits and Risk Investment Decisions: An Examination Based on Microdata from Chinese Household Finance

Assessment of Awareness, Adoption Behavior and Impact of the Crop Insurance Scheme (PMFBY) in Kangra District of Himachal Pradesh

Agriculture inherently involves numerous risks that directly affect farmer’s livelihood. To mitigate these risks, crop insurance serves as a vital institutional mechanism. Recognizing its importance in risk management, this paper aimed to assess impact of Pradhan Mantri Fasal Bima Yojana on farmer’s livelihood status. Subsequently, the paper aimed to evaluate the level of awareness and identify the factors influencing farmers' decisions to purchase crop insurance. The primary data was collected from 120 farmers consisting of 60 beneficiaries and 60 non-beneficiaries by using simple random sampling technique in the Kangra district of Himachal Pradesh. The selected beneficiaries were further divided into two groups i.e. claim holders and non-claim holders. Livelihood framework analysis showed that beneficiaries had a better position in social, financial and human assets status than non-beneficiaries. The study revealed a significantly lower level of awareness regarding the scheme among non-beneficiaries compared to beneficiaries. Additionally, landholding size, income level, awareness regarding scheme and contact with extension agents emerged as key factors which influenced the adoption of PMFBY. Based on the findings it is recommended that policymakers and stakeholders should focus on enhancing awareness and outreach efforts regarding crop insurance, particularly targeting farmers with smaller landholdings and lower incomes. Additionally, strengthening the engagement of extension agents can play a crucial role in promoting the adoption of PMFBY, consequently uplifting the overall livelihood status of farmers.

Bitcoin as a financial asset: a survey

Since its introduction as a decentralized digital currency for peer-to-peer transactions, Bitcoin’s role in financial markets has undergone significant evolution. We employ bibliometric analysis to explore research trends in Bitcoin, identifying two primary perspectives in the recent financial economic literature: Bitcoin as a speculative asset and as a safe-haven asset. The speculative nature of Bitcoin is evident through its high volatility and frequent price jumps, largely influenced by rapid shifts in investor sentiment and attention, which create both risks and opportunities for traders. Conversely, Bitcoin exhibits characteristics of a safe-haven asset due to its asymmetric tail dependence and negative correlation within certain asset classes.

Research on the impact of digital financial development on the allocation of household financial assets in my country

With the rapid development of digital technology, digital finance is gradually changing the way Chinese households allocate their financial assets. This paper, entitled "A Study on the Impact of Digital Finance Development on the Allocation of Chinese Household Financial Assets", conducts an in-depth discussion on the impact of digital finance on the allocation of household financial assets from the perspectives of theoretical analysis and literature review. First, by sorting out the definition and classification of digital finance, this paper summarizes the current status of digital finance development at home and abroad and its potential impact on residents' financial behavior. Second, based on behavioral finance and information asymmetry theory, this paper analyzes how digital finance affects residents' financial asset allocation decisions by improving information acquisition efficiency, reducing transaction costs, and providing diversified financial products. The study found that the development of digital finance helps residents to obtain financial information more conveniently, lower investment thresholds, and increase the availability of financial products, thereby prompting residents to diversify their asset allocation. However, the development of digital finance also brings new risks and challenges, such as information security issues and financial fraud risks, which require the government, financial institutions, and residents to jointly respond. Finally, this paper puts forward policy recommendations to promote the healthy development of digital finance, including improving the regulatory system, improving residents' financial literacy, and promoting technological innovation in financial institutions. Through these measures, digital finance can better play a positive role in optimizing the allocation of residents' household financial assets and promote the healthy development of the financial market.

Perceived barriers to and facilitators of behavioural change towards a more active lifestyle in people with neuromuscular diseases: a qualitative study.

To explore perceived barriers to and facilitators of behaviour change towards a more active lifestyle in people with neuromuscular diseases. A qualitative study. Nineteen subjects (63% females, age range 28-73 years), representing 4 different neuromuscular diseases. Data from a randomized controlled trial were used. Subjects followed a physical activity programme including coaching sessions using motivational interviewing techniques. All sessions were audio-recorded, and thematic analyses were conducted on a random selection of 29 audio recordings, using the International Classification of Functioning, Disability and Health as a framework. Barriers and facilitators were identified in the following domains: body functions and structures (i.e., neuromusculoskeletal, sensory and mental functions), activities and participation (i.e., undertaking multiple tasks and complex interpersonal interactions), environmental factors (i.e., products and technology for personal use in daily living, design/construction of buildings for public and private use, financial assets, climate, natural events, support and relationships) and personal factors (i.e., satisfaction with life, attitude toward health and disease, attitude toward intervention, exercise habits and methodical skills). Identified barriers and facilitators could guide healthcare professionals to facilitate the discussion of physical activity behaviour and to address them in a personalized way during neuromuscular rehabilitation treatment.

The Effectiveness and Efficiency of the New Public Policies

In this paper we deal with the recent (1995-2023) Federal Reserve operated monetary policies, which were two unprecedented and distinct monetary policy regimes. The inflation stabilization era (1995-2008) and the zero-interest rate era (December 15, 2008-December 15, 2015) and again (March 15, 2020-March 15, 2022). These different monetary policy regimes provided various outcomes for interest rates, financial markets, inflation, cost of living, employment, international trade, and real economic growth. Then, a new fiscal policy was imposed in 2021. Some of the important, but not so beneficial results are that monetary policy appears to be able to affect long-term real interest rates, risk, the prices of the financial assets (bubbles), inflation, and very little the real economic growth. The Fed’s interest rate target was set during these nine years at 0% to 0.25%. It has created a low level of long-term interest rates and the negative real rate of interest (cost of capital), due to double digit inflation. The evidence suggests that these public policies are not very effective; they have created a new bubble in the financial market, perpetuated inflation, a redistribution of wealth from risk-averse savers to banks and risk-taker speculators, and a huge social cost (bail-in and bail-out cost). This monetary policy has increased the risk (RP) to the risk-averse depositors by making the real rate of interest negative. The effects on growth and employment of both public policies (monetary and fiscal) were gradual, small, and questionable, due to exaggerated liquidity, outsourcing, unfair trade policies, the suspicious COVID-19 pandemic, liberalism, the obsession with the “environment”, new wrong ideologies, which increased the cost of production and generated enormous deficits and debts. Keywords: Monetary Policy, Central Banks and Their Policies, Money and Interest Rates, Financial Markets and the Macro-economy, Model Evaluation and Testing, Social Welfare

Public sentiment, stock and energy prices during the Russia-Ukraine war: global evidence

ABSTRACT This study uses public emotions shown through social media to identify public sentiment toward the current Russia-Ukraine war. Utilizing the development of natural language processing algorithms, this study tests the correlation between the public psychological factor and the fluctuation in financial markets and energy prices during the ongoing Russia-Ukraine war. This study emphasizes the public’s initial response to this event (from 1/2022 to 5/2022). It aims to evaluate the public sentiment on sudden shock instead of taking the incident comprehensively. The study results ascertain the public sentiment index contained from social media as a market indicator. During shock events such as the Russia-Ukraine war, public sentiment intensifies energy and financial asset price fluctuation, indicating that public psychology tends to be influenced by negative news and causes them to act accordingly, resulting in a sell-off in financial and energy markets.

Economic policy uncertainty, financial asset allocation, and enterprise innovation

ABSTRACT This article establishes a regression analysis on China A-share listed enterprises with relevant data in 2013–2023, testing the enterprise innovation behaviour in the face of economic policy uncertainty (EPU), and further analysing the mediating role of financial asset allocation in it. The results show that: (1) EPU significantly can promote enterprise innovations; (2) in the face of EPU, liquid financial asset allocation plays a mediating role in increasing enterprise innovation; (3) non-liquid financial asset allocation plays a mediating role in reducing enterprise innovation.

The Effect of Marketing Activities on Profitability with Others Comprehensive Income as Moderation: Evidence from Southeast Asia

This research aims to know moderated of others comprehensive income in link of marketing activities on the profitability of financial sector firm in the Southeast Asia region. Research on profitability determination has been widely conducted, but testing the moderating role of Others Comprehensive Income (OCI) in link marketing activities on financial profitability in financial sector companies has not been widely conducted. This is important because financial sector companies have large financial assets. The source of funding comes from funding funds that are inseparable from marketing activities. Ownership of large financial assets has an impact of other comprehensive income (OCI), especially the type of unrealized earnings from adjustment assets include financial types that are ready to be realized (AFS). Observation data of 612 from the financial statements of a sample of 153 financial sector companies in 2020 - 2023 in five Southeast Asian countries, namely Indonesia, Thailand, Malaysia, Singapore, and the Philippines. Data analysis using Moderated Regression Analysis and showing the results that the existence of OCI in financial sector companies is proven to strengthen the positive impact activities of marketing to ROA or profitability. The originality of this study is to test OCI’s moderated in link marketing activities on profitability. Large OCI AFS ownership in financial sector companies is important information for investors regarding future profitability, because AFS will be realized in the future, and its realization will certainly affect net income.

A comparative study of Islamic conformity, profitability, and green performance in Southeast Asian Islamic banks

Southeast Asian countries, as members of the Association of Southeast Asian Nations (ASEAN), hold the second-largest Sharia financial assets globally. This study aims to assess the comparative performance of Islamic banks across ASEAN, examine the relationship between Islamic conformity, profitability, and green banking practices, and compare performance indicators between Malaysian and Indonesian Islamic banks. The sample includes Islamic banks from Indonesia, Malaysia, Brunei Darussalam, Thailand, and the Philippines. The findings reveal consistent adherence to Sharia principles across all banks, demonstrating strong Islamic conformity. However, financial performance indicators such as Return on Assets (ROA), Return on Equity (ROE), and Net Profit Margin (NPM) show significant variability, reflecting differences in operational efficiency and profitability. Green banking practices positively correlate with profitability, particularly ROA and NPM, emphasizing the role of Environmental, Social, and Governance (ESG) initiatives in enhancing operational efficiency and customer loyalty. The comparative analysis highlights that while both Malaysian and Indonesian Islamic banks exhibit consistent Islamic conformity, Malaysian banks outperform their Indonesian counterparts in green banking practices and profitability. This advantage is attributed to Malaysia’s advanced regulatory environment, which promotes sustainable finance, whereas Indonesian banks face greater profitability variability, necessitating improved governance and operational strategies. These findings offer valuable insights for policymakers and stakeholders, showcasing how Islamic financial principles can integrate with sustainability practices to achieve profitability and environmental responsibility in Islamic banking. Acknowledgment(s)The authors extend their gratitude to the Ministry of Higher Education, Science and Technology of the Republic of Indonesia for funding this research and to the Research and Community Service Centre of Universitas Mercu Buana for their valuable support.

Identifying and Measuring Architectural Design Features for Financial Asset Valuation

In the realm of architectural design and real estate development, a significant tension exists between design and finance. Design, with its emphasis on functionality, aesthetics, and human experience, often struggles to assert its value in a financial landscape dominated by quantifiable metrics. Traditional real estate valuation models frequently overlook the nuanced contributions of architectural design due to the absence of systematic approaches for identifying, measuring, and standardizing architectural data collection. This oversight has profound implications for the built environment, where design decisions must be financially justified to gain acceptance. The widening gap between design and finance in real estate development has fueled a trend toward the increasing financialization of new projects, often at the expense of design innovations that promote health, resilience, and sustainability. As the industry continues to prioritize evidence-based decision-making, there is an urgent need to develop systematic methods for measuring and evaluating design features to better understand their significance and contribution to economic value. This paper identifies and catalogs 19 building design features, surveys existing measurement techniques, and proposes methods for their measurement using existing tools and technologies.

Research On Auction Value Assessment Of Finan-cial Non-Performing Assets Based On Bp Neural Network

The proportion and quality of financial non-performing assets is a direct re-flec-tion of the risk management ability of banks and financial institutions. Re-search on the auction value of non-performing assets and the construction of a reliable non-performing asset value assessment model can help improve the effi-ciency of resource allocation. Taking the first-hand data from Alibaba auction website as the data source, the main influencing factors affecting the auction value of non-performing assets are explored. Again on the basis of BP neural network to construct a model of non-performing assets auction value assessment, and fur-ther make empirical analyses for testing, the model has accuracy, enriches the research of financial non-performing assets assessment.

Research On Auction Value Assessment Of Finan-cial Non-Performing Assets Based On Bp Neural Network

The proportion and quality of financial non-performing assets is a direct re-flec-tion of the risk management ability of banks and financial institutions. Re-search on the auction value of non-performing assets and the construction of a reliable non-performing asset value assessment model can help improve the effi-ciency of resource allocation. Taking the first-hand data from Alibaba auction website as the data source, the main influencing factors affecting the auction value of non-performing assets are explored. Again on the basis of BP neural network to construct a model of non-performing assets auction value assessment, and fur-ther make empirical analyses for testing, the model has accuracy, enriches the research of financial non-performing assets assessment.

Explore benefits of expanded treasury role on board

For the typical nonprofit board, the role of treasurer is seen as a money‐minder—the person most directly responsible for ensuring the proper stewardship of the organization's financial assets.

Can financial literacy enhance household financial risk asset allocation? Based financial planning and the mediating role of Taoist culture

PurposeThis study examines the impact of enhanced financial literacy on the allocation of risky assets within household financial portfolios, while also considering the mediating role of Taoist cultural influences.Design/methodology/approachThe authors applied ordered probit models and ordinary least squares estimation to analyze a sample of 19,015 data collected from the 2019 Chinese Urban Household Consumer Finance Survey.FindingsThe results demonstrate that an improvement in financial literacy significantly contributes to an increase in residents’ allocation of risky assets. This enhancement in financial literacy, achieved through financial planning and a reduction in the influence of Taoist culture, effectively bolsters the quantity of risky financial assets held. Moreover, the impact of financial literacy on the allocation of risky financial assets is particularly pronounced among residents aged 45–55 and those aged 35–45 and older.Practical implicationsThe practical implications suggest that policymakers and relevant departments may consider strategies to encourage greater participation in the financial market by promoting Taoist culture in an appropriate and reasonable manner while widely carrying out financial education for residents and improving their financial literacy.Originality/valueWhile previous studies have not focused on the impact of traditional culture on financial decision-making allocations, this study investigates the significant impact of financial literacy and Taoist culture on risky asset allocations, highlighting in particular the significant impact on middle-aged residents. This provides a nuanced understanding of how financial literacy affects investment behavior and offers insights for policymakers to effectively tailor financial education programs.

Promotion or inhibition: the impact of corporate financialization on the labour income share in China

ABSTRACT A widely accepted view suggests that financialization at both the macro and micro levels leads to income distribution imbalances, specifically a decline in the labour income share and an increase in income inequality. Given this established view, this study investigates whether the same trends are evident in the context of rapidly developing China. Using data from Chinese listed companies spanning 2007 to 2022, we find that corporate financialization has a positive impact on the labour income share. Improved investment efficiency, alleviated financing constraints, and adjustments in the human capital structure are the internal mechanisms through which financialization affects the labour income share. This positive association is more pronounced for companies with high capital intensities and short-term financial assets. Additionally, corporate financialization increases the income shares of executives and ordinary staff, but its impact is more pronounced on the income share of the latter than the former.

Financial Market Responses to the Policy Language of Forward Guidance: Evidence from China

Financial Market Responses to the Policy Language of Forward Guidance: Evidence from China

Enhancing Security and Authenticity in Immersive Environments

Immersive environments have brought a great transformation in human–computer interaction by enabling realistic and interactive experiences within simulated or augmented spaces. In these immersive environments, virtual assets such as custom avatars, digital artwork, and virtual real estate play an important role, often holding a substantial value in both virtual and real worlds. However, this value also makes them attractive to fraudulent activities. As a result, ensuring the authenticity and integrity of virtual assets is of concern. This study proposes a cryptographic solution that leverages digital signatures and hash algorithms to secure virtual assets in immersive environments. The system employs RSA-2048 for signing and SHA-256 hashing for binding the digital signature to the asset’s data to prevent tampering and forgery. Our experimental evaluation demonstrates that the signing process operates with remarkable efficiency; over ten trials, the signing time averaged 17.3 ms, with a narrow range of 16–19 ms and a standard deviation of 1.1 ms. Verification times were near-instantaneous (0–1 ms), ensuring real-time responsiveness. Moreover, the signing process incurred a minimal memory footprint of approximately 4 KB, highlighting the system’s suitability for resource-constrained VR applications. Simulations of tampering and forgery attacks further validated the system’s capability to detect unauthorized modifications, with a 100% detection rate observed across multiple trials. While the system currently employs RSA, which may be vulnerable to quantum computing in the future, its modular design ensures crypto-agility, allowing for the integration of quantum-resistant algorithms as needed. This work not only addresses immediate security challenges in immersive environments but also lays the groundwork for broader applications, including regulatory compliance for financial virtual assets.