Showing papers by "Cristi Spulbar published in 2020"
TL;DR: In this paper, a systematic review of fully integrated Banking 4.0 and the application of the technologies of Industry 5.0 is presented. But, the authors focus on the performance of successful global banks in applying these technologies and do not provide an overview of the practical applications of these technologies.
Abstract: The purpose of the present paper is to provide an advanced overview of the practical applications of Banking 4.0 in Industry 4.0. This paper examines the technology trends in the Fourth Industrial Revolution and identifies the key indicators behind the creation of a strategic map for the fourth-generation banks and their readiness to enter Industry 4.0. This paper examines a systematic review of fully integrated Banking 4.0 and the application of the technologies of Industry 4.0 and illustrates a distinct pattern of integration of Banking 4.0 and Industry 4.0. One of the prominent features of this article is the performance of successful global banks in applying these technologies. The results showed that Banking 4.0 in Industry 4.0 is an integrative value creation system consisting of six design principles and 14 technology trends. The roadmap designed for banks to enter Industry 4.0 and how they work with industrial companies will be a key and important guide.
45 citations
19 May 2020
TL;DR: In this paper, a research study contributes towards understanding the customer's behaviour dynamics, and it is very important not to ignore the fact that the interaction between human beings is very complex.
Abstract: This research study contributes towards understanding the customer’s behaviour dynamics. In business analysis, it is very important not to ignore the fact that the interaction between human beings ...
21 citations
TL;DR: In this paper, the authors investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets, and investigate whether selected emerging stock markets capture the volatility patterns of developed stock markets located in the same region.
Abstract: The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents, respectively North America, Europe and Asia. We also investigate whether selected emerging stock markets capture the volatility patterns of developed stock markets located in the same region. The empirical analysis is focused on seven developed stock market indices, i.e. IBEX35 (Spain), DJIA (USA), FTSE100 (UK), TSX Composite (Canada), NIKKEI225 (Japan), DAX (Germany), CAC40 (France) and five emerging stock market indices, i.e. BET (Romania), WIG20 (Poland), BSE (India), SSE Composite (China) and BUX (Hungary) from January 2000 to June 2018. The econometric framework includes symmetric and asymmetric GARCH models i.e. EGARCH and GJR which are performed in order to capture asymmetric volatility clustering, interdependence, correlations, financial integration and leptokurtosis. Symmetric and asymmetric GARCH models revealed that all selected financial markets are highly volatile, including the presence of leverage effect. The stock markets in Hungary, USA, Germany, India and Canada exhibit high positive volatility after global financial crisis.
21 citations
24 Aug 2020
TL;DR: In this paper, the authors examine the relationship between stock market performance and country level governance indicators and conclude that a good quality of governance in a country ensures effective implemen....
Abstract: The aim of this article is to examine the relationship between stock market performance and country level governance indicators. A good quality of governance in a country ensures effective implemen...
20 citations
TL;DR: In this article, the authors assess the volatility and returns of Indian companies and measure the impact of ESG scores on returns and volatility with the help of panel regression, and assess the relationship between investment and environmental, social and governance (ESG) disclosure.
Abstract: Sustainability reporting and disclosure in India have received a significant attention over the most recent few years propelled to a large extent by investors and policy makers. The Sustainable Business Leadership Forum (SBLF) has been closely working with many firms, owners of the companies and policy makers to single out the relationship between investment and environmental, social and governance (ESG) disclosure. Besides that, SBLF has had a coordinated conversation about the anticipations, concerns, difficulties and realities surrounding ESG estimation. This ESG criteria refers to three important elements which are considered by investors with regards to an ethical impact of firms and sustainable practices. As per the literature companies with higher ESG scores are better investment picks. This paper attempts to assess the volatility and returns of Indian companies and to measure the impact of ESG scores on returns and volatility with the help of panel regression.
13 citations
TL;DR: In this article, the authors examined the holiday effect presence on the Bombay Stock Exchange (BSE), which is a major Indian stock exchange and found that the mean returns for pre-holiday and post-holidays were greater compared to that of remaining days, but the empirical results showed that they were not statistically significant for selected stocks of BSE based on daily stock returns data for Ruby Mills and Mafatlal Industries.
Abstract: This research paper examines the holiday effects presence on the Bombay Stock Exchange (BSE), which is a major Indian stock exchange. The textile and clothing industry in India is one of the most important producers in the world, but also the second exporter of textile and apparel globally. The empirical analysis investigates the impact of the holiday effect on the development of the textile and clothing industry in India. The holiday effect is one of the most important calendar anomalies identified in the financial markets. The methodological approach includes the non-parametric Mann-Whitney U-test used to test the equality of means for different sub-sets. The findings revealed that the mean returns for pre-holiday and post-holidays were greater compared to that of remaining days, but the empirical results showed that they were not statistically significant for selected stocks of BSE based on daily stock returns data for Ruby Mills and Mafatlal Industries.
10 citations
TL;DR: In this paper, the impact of domestic portfolio diversification strategies in Toronto stock exchange on Canadian textile manufacturing industry is examined and the empirical results indicate that TSX presents attractive opportunities for domestic diversification.
Abstract: REZUMAT The impact of domestic portfolio diversification strategies in Toronto stock exchange on Canadian textile manufacturing industry The aim of this research study is to examine the impact of domestic portfolio diversification strategies in Toronto Stock Exchange (TSX) on Canadian textile manufacturing industry in order to obtain attractive investment opportunities. Dissipation of benefits of globally diversified portfolios due to overwhelming convergence among the international and regional stock markets around the globe have given rebirth to the idea of domestic portfolio diversification particularly after the global financial crisis of 2008. Textile industry in Canada is challenging but can achieve higher performance based on Toronto Stock Exchange behavior. Therefore, this is a complex applied research focused on investigating TSX as standalone stock market for domestic diversification opportunities. For this purpose, correlation coefficients, pairwise cointegration, multiple cointegration and causality of sectors in TSX have been examined. The empirical results show that majority of the sectors in TSX do not share high correlation with each other and they are also not highly cointegrated. These empirical findings indicate that TSX presents attractive opportunities for domestic portfolio diversification.
6 citations
TL;DR: In this paper, the authors provided further evidence of the weak form efficiency of the Bahrain stock market by using ARCH and GARCH models and Hurst index to test the efficiency of stock market.
Abstract: REZUMAT Further evidence on efficiency of Bahrain Bourse: A high challenge for other industries The purpose of the present study is to provide further evidence of the weak form efficiency of the Bahrain Bourse. The research methodology is based on daily closing index values of the Bahrain Bourse from 2011 to 2015 in order to test the efficiency of the stock market while runs test, Autocorrelation Function, and advance tools such as ARCH and GARCH models and Hurst Index to provide further evidence of the weak form efficiency of the Bahrain stock market. For instance, a volatile and inefficient stock market has a negative impact on textile and apparel industry in the Kingdom of Bahrain, which is one of the most prosperous and attractive industries in the country. The empirical results revealed that Bahrain stock market does not follow normal distribution and the successive price changes are not independent. Further, ARCH effect is significant and indicative of a time-varying conditional volatility. There is an arbitrage opportunity and extreme mispricing in the Bahrain stock market as indicated by the GARCH (1, 1) model. The results of the Hurst exponent also confirm the inefficiency of the market. The results of these tests are consistent indicating that the Bahrain stock market is inefficient.
3 citations
3 citations
01 Jan 2020
TL;DR: The main objective of this chapter is to investigate the effects of cybercrime on the banking sector in ASEAN.
Abstract: The main objective of this chapter is to investigate the effects of cybercrime on the banking sector in ASEAN. Global challenges on the evolution of cybercrime are in continuous dynamics in the case of emerging or developing countries, so that sustainable development plays an essential role. Moreover, the propagation effects can generate significant damages in the banking sector. Efficient bank management is essential in the context of providing advanced techniques for cyber security. Traditional cyber security measures are insufficient to ensure data protection and online information privacy. Consequently, investigations of cyber-criminal activity must become a priority especially in the context of globalization. The Effects of Cybercrime on the Banking Sector in ASEAN
2 citations
TL;DR: Wang et al. as mentioned in this paper provided a new robust nonlinear regression-based model for stock exchange prediction for Taiwan stock market, considering its economic growth and financial perspectives, and the final multiple regression equation provides a new prediction model for Taiwan's main stock market index.
Abstract: Is Taiwan a black swan phenomenon for local textile and clothing industry? A robust nonlinear
regression-based model for stock exchange prediction
Local apparel and textile manufacturing industry in Taiwan is a sector of great importance for sustainable economic
growth. A stock market is an effective barometer indicating the economic health of a country and Taiwan is a case even
more special. However, is Taiwan a black swan phenomenon for local apparel and textile manufacturing industry
considering its economic growth and financial perspectives? In addition to existing literature, this research article
provides a new robust nonlinear regression-based model for stock exchange prediction for Taiwan stock market. The
financial data series used for the econometric analysis include the period from January 2000 to July 2018 for 13 main
stock markets from countries all around the globe, such as: Taiwan, Spain, Poland, Hungary, Romania, Canada, USA,
Japan, Germany, France, UK, India, and China. The final multiple regression equation provides a new prediction model
for Taiwan’s main stock market index. A sustainable economic growth in Taiwan is necessary to achieve major objectives
such as social justice, poverty alleviation and natural environment protection. The stock market in Taiwan plays an
essential role in order to stimulate economic growth and technological progress by attracting foreign investment and
foreign capital. In a globalized economy, the inter-linkages between stock markets are complex and can significantly
influence Taiwan’s sustainable development.
Keywords: textiles, apparel industry, manufacturing sector, emerging stock market, economic growth, sustainable
development, economic sustainability, nonlinear regression-based model
02 Mar 2020
TL;DR: The main objective of as discussed by the authors is to explore hypothesis about the integration of the banking systems in European Union (EU) and increasing the European Union member states degree of convexity.
Abstract: The main objective of this research article is to explore hypothesis about the integration of the banking systems in European Union (EU). Increasing the European Union member states degree of conve...
TL;DR: In this paper, the authors focus on the effectiveness of various preventive strategies in controlling NPA in future and highlight few new causes which are barely covered by the earlier researches, which could provide a valuable insight about which strategy is more effective to prevent these stressed assets.
Abstract: There are two kinds of strategies to control Non Performing Assets i.e. curative and preventive. The paper is an attempt to focus on the effectiveness of various preventive strategies in controlling NPA in future.For this study primary data have been collected from 82 branches out of 138 branches of Sagar District in Madhya Pradesh of India. The respondents are the branch managers or recovery officer of each branch.The primary data are related to the causes of NPA, actual usage of preventive measures and effectiveness of each preventive strategy. It highlights few new causes which are barely covered by the earlier researches. The study also represents the actual usage of various preventive measures along with the effectiveness of preventive measures in averting NPA to be occurred in future. The outcome of this study could provide a valuable insight about which strategy is more effective to prevent these stressed assets. Besides that, it could aware the banking authorities regarding the problems faced by the managers in using the preventive measures.JEL Codes - G21; G23, G24
Posted Content•
TL;DR: In this paper, the authors investigate fundamental paradigms in modern financial theory and show that inherent deviations from rational investment behavior provide an indisputable empirical evidence regarding the existence of anomalies on the capital market.
Abstract: The main aim of this research paper is to investigate fundamental paradigms in modern financial theory. Stock markets are characterized by a complex nonlinear dynamics that does not converge towards a known finality, respectively a result that can be anticipated or influenced, or at least reduced at the level of a limit cycle. In this context, the very concept of investment rationality reaches a completely different meaning. Thus, limited rationality replaces rational expectations. Financial investors are characterized by certain features. However, inherent deviations from rational investment behavior provide an indisputable empirical evidence regarding the existence of anomalies on the capital market. The classical finance paradigm incorporates the idea that rational investors select an efficient portfolio in order to obtain the highest long-term stock returns but the risk must not exceed the tolerable limit. On the other hand, behavioral finance theory argues that the decision-making process is definitely affected by psychological, affective and emotional factors.