Given that the options market is now very large and significant part of the trade of financial instruments, the evaluation of pricing of these derivatives becomes very important for regulators as well as market participants. The value of an option can be estimated by using a variety of quantitative techniques based on the concept of risk neutral pricing. In the famous Black-Scholes pricing form...

ESG investment strategy has attracted increasing attention from the financial market, and inconsistency of enterprise rating results different agencies gradually become focus regulators investors. In this article, listed companies with ratings in Shanghai Shenzhen A-shares 2016 to 2020 were selected as research samples. Combined difference-in-differences model ordinary least squares methods, ra...

We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, “bounded rationality” and a probabilistic description. We also compare extensively two previously proposed models of log-periodic behavior of the stock market index prior to a large crash. We find that the model which fol...

a r t i c l e i n f o Keywords: Investor sentiment Stock returns Chinese A-share stock market Firm characteristics Penalized panel quantile regression model This paper employs the panel quantile regression model to study the nonlinear effect of investor sentiment on monthly stock returns in the Chinese A-share stock market. The findings show that the influence of investor sentiment is significa...

Our research focuses on the relationship between ESG performance of South Korean multinational companies and stock price crash in next year. For our study, we divide samples into three different categories - namely, all companies, (MNC) non-multinational companies(non-MNC). major findings are as following. First, find negative social (S) score future crash, indicating that their prevents risk. ...

The present study aims to investigate the effects of macroeconomic variables on stock price crash risk in economically uncertain conditions Iran’s market. This also seeks examine whether there is a significant relationship between some firm characteristics and falling prices. sample includes 152 Iranian companies listed Tehran Stock Exchange (TSE) 2014 2019. Furthermore, research model has been...

this world; though all the discussions are focused on the causal relationships in allthe scientific arguments. One of the methods to study the designed causal relationshipsobjectively is Granger causality test. This paper aims to investigate the longtermcausal relationship between the stock price and dividends. The statisticalpopulation includes 180 active companies in Stock Exchange of Tehran ...

This paper examines the relationship between the stock crash risk of REITs and different types of institutional investors. First, when we classify REIT institutional investors by their legal type, we find that the ownership of pension funds (bank trusts) is negatively (positively) related to REIT crash risk. In addition, the trading of investment companies, including mutual funds, has become po...