International Journal of Banking, Accounting and Finance 

About: International Journal of Banking, Accounting and Finance is an academic journal published by Inderscience Publishers. The journal publishes majorly in the area(s): Business & Market liquidity. It has an ISSN identifier of 1755-3830. Over the lifetime, 142 publications have been published receiving 933 citations. The journal is also known as: IJBAAF.

Forecasting stock index returns using ARIMA-SVM, ARIMA-ANN, and ARIMA-random forest hybrid models

Abstract: The purpose of this paper is to develop and identify the best hybrid model to predict stock index returns. We develop three different hybrid models combining linear ARIMA and non-linear models such as support vector machines (SVM), artificial neural network (ANN) and random forest (RF) models to predict the stock index returns. The performance of ARIMA-SVM, ARIMA-ANN and ARIMA-RF are compared with performance of ARIMA, SVM, ANN and RF models. The various competing models are evaluated in terms of statistical metrics and trading performance criteria via a trading strategy. The analysis shows that the hybrid ARIMA-SVM model is the best forecasting model to achieve high forecast accuracy and better returns.

The effect of board size and composition on bank efficiency

Abstract: This paper analyses the relationship between board structure, in terms of board size and composition, and bank performance in terms of both cost and profit efficiency. Unlike previous studies, the present analysis is carried out within a stochastic frontier framework, while we use a suitable econometric model to solve the well-known endogeneity problem in corporate governance literature. The empirical framework is applied to a panel of large European banks operating during the period 2002-2008. The paper documents a negative correlation between board size, on the one hand, and cost and profit efficiency, on the other hand, while also casts doubt on the conventional regulatory wisdom favouring boards dominated by non-executive directors. Smaller board structures are also associated with better bank efficiency through better management of credit risk. Moreover, we find that dual board systems enhance efficiency, by contrast to increased ownership concentration which seems to exert an insignificant influence. Finally, we identify a positive impact of market discipline upon bank efficiency and report a negative association between bank efficiency and augmented supervisory power as well as foreign ownership. Copyright © 2010 Inderscience Enterprises Ltd.

Systemic risk from real estate and macro-prudential regulation

Abstract: There is considerable evidence that boom and bust cycles in real estate are the primary cause of financial crises. This paper develops a model of real estate pricing based on rational behaviour with two regimes. In 'normal times' prices of housing units are determined by the consumers who live in them and are equal to the discounted stream of housing services. In 'boom and bust times' speculators find it profitable to borrow from banks and enter the market. There is an agency problem because banks are unable to fully assess the risk that the speculators are taking and this leads to risk shifting and asset substitution. The result is a bubble in real estate prices in that they are higher than the discounted stream of housing services during the boom phase. This model is then used as the basis for analysing macro-prudential polices designed to prevent the occurrence of such bubbles. These measures include monetary policy, fiscal tools such as real estate transfer taxes, and annual real estate taxes and banking regulation such as restrictions on loan-to-value ratios, countercyclical capital requirements and loan provisions.

Equity portfolio management within the MCDM frame: a literature review

Abstract: The current study provides a categorised bibliography on the application of the techniques of multiple criteria decision making (MCDM) to the problems and issues of portfolio management. A large number of studies in the field of portfolio management have been compiled and classified according to the different multicriteria methodological approaches that have been used. Except the in-depth presentation of the MCDM contributions in the area of portfolio management, the outmost aim of this paper is to stress the inarguable multiple criterion nature of the majority of the problems that modern financial management faces.

Financial co-movement and correlation: evidence from 33 international stock market indices

Abstract: The analysis of financial market co-movement is an important issue for both policy makers and portfolio managers, for example, in terms of policy coordination and portfolio diversification. This paper presents evidence based on a data set of 33 daily international stock market indices. Initially, using established cointegration and multivariate GARCH frameworks, we report results that suggest correlations with the US have not in general exhibited an upward trend. The main exception to this is the G7 economies, although even here the correlations declined over the last part of the sample. On a regional basis there is stronger evidence of rising correlations, notably in Europe, although again this evidence is not ubiquitous. Further, we also implement the recently developed non-parametric, model-free and realised variance methodology to generate correlation coefficients. This method overcomes deficiencies in both the cointegration and GARCH methods. The results here largely support those of the GARCH analysis. Finally, we use the time-varying correlation methods to form international portfolios and compare their performance to that of an equally weighted portfolio. Results suggest that accounting for time-variation is particularly beneficial for the larger markets but more marginal for the smaller markets. Our results thus suggest that there remains room for portfolio managers to obtain diversification benefits, while policy makers may need to take in account possible adjustment costs of coordinated action.