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Prof. Michael McAleer
Department of Finance, College of Management, Asia University, Taiwan

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Short Biography

PhD (Economics), Queen’s University, Canada; Research Chair Professor, Finance, Asia University, Taiwan; Erasmus Visiting Professor, Quantitative Finance, Erasmus University Rotterdam, Netherlands; Adjunct Professor, Economic Analysis, ICAE, Complutense University Madrid, Spain; Adjunct Professor, Mathematics and Statistics, University of Canterbury, New Zealand. Elected Distinguished Fellow of International Engineering and Technology Institute (DFIETI); elected Fellow of Academy of the Social Sciences in Australia (FASSA), International Environmental Modelling and Software Society (FIEMSS), Modelling and Simulation Society of Australia and New Zealand (FMSSANZ), Journal of Econometrics, Econometric Reviews. E-in-C of 6 international journals, editorial boards of 45 international journals, published 915 journal articles and books.

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Journal article
Published: 09 August 2021 in Journal of Risk and Financial Management
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Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To check whether our conjecture holds, we set up several situations and conduct simulations to justify our conjecture. Our simulations show that under some situations, the chance that the regressions being spurious is very high for all the cases simulated in our paper. Nonetheless, under some other situations, our simulation shows that the rejection rates are much smaller than the 5% level of significance for all the cases simulated in our paper, implying that our conjecture could hold under some situations that regression of two independent and nearly non-stationary series does not have any spurious problem at all.

ACS Style

Yushan Cheng; Yongchang Hui; Michael McAleer; Wing-Keung Wong. Spurious Relationships for Nearly Non-Stationary Series. Journal of Risk and Financial Management 2021, 14, 366 .

AMA Style

Yushan Cheng, Yongchang Hui, Michael McAleer, Wing-Keung Wong. Spurious Relationships for Nearly Non-Stationary Series. Journal of Risk and Financial Management. 2021; 14 (8):366.

Chicago/Turabian Style

Yushan Cheng; Yongchang Hui; Michael McAleer; Wing-Keung Wong. 2021. "Spurious Relationships for Nearly Non-Stationary Series." Journal of Risk and Financial Management 14, no. 8: 366.

Journal article
Published: 04 May 2021 in Econometrics
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This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity matrix for its sample covariance matrix. In the second step, the remaining parameters are estimated by maximizing the quasi-log-likelihood function. For this two-step quasi-maximum likelihood (2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth-order moments is required for the convergence of the second-order derivatives of the quasi-log-likelihood function. This paper also shows the relationship between the asymptotic distributions of the 2sQML estimator for the RBEKK model and variance targeting quasi-maximum likelihood estimator for the VT-BEKK model. Monte Carlo experiments show that the bias of the 2sQML estimator is negligible and that the appropriateness of the diagonal specification depends on the closeness to either the diagonal BEKK or the diagonal RBEKK models. An empirical analysis of the returns of stocks listed on the Dow Jones Industrial Average indicates that the choice of the diagonal BEKK or diagonal RBEKK models changes over time, but most of the differences between the two forecasts are negligible.

ACS Style

Manabu Asai; Chia-Lin Chang; Michael McAleer; Laurent Pauwels. Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models. Econometrics 2021, 9, 21 .

AMA Style

Manabu Asai, Chia-Lin Chang, Michael McAleer, Laurent Pauwels. Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models. Econometrics. 2021; 9 (2):21.

Chicago/Turabian Style

Manabu Asai; Chia-Lin Chang; Michael McAleer; Laurent Pauwels. 2021. "Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models." Econometrics 9, no. 2: 21.

Editorial
Published: 25 November 2020 in Journal of Risk and Financial Management
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Of the numerous important, significant, and high-quality papers that have been published in the Journal of Risk and Financial Management (JRFM), the journal’s highly dedicated and efficient team have determined the top 10 cited papers for 2018–2020, as listed in the references, two of which are included in the World Health Organization’s (2020a, 2020b) list of “WHO COVID-19 Global literature on coronavirus disease”, and three of which are sole-authored papers

ACS Style

Michael McAleer. Ten Most Highly Cited Papers in Journal of Risk and Financial Management (JRFM), 2018–2020. Journal of Risk and Financial Management 2020, 13, 294 .

AMA Style

Michael McAleer. Ten Most Highly Cited Papers in Journal of Risk and Financial Management (JRFM), 2018–2020. Journal of Risk and Financial Management. 2020; 13 (12):294.

Chicago/Turabian Style

Michael McAleer. 2020. "Ten Most Highly Cited Papers in Journal of Risk and Financial Management (JRFM), 2018–2020." Journal of Risk and Financial Management 13, no. 12: 294.

Article
Published: 23 November 2020 in Computational Economics
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This study develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and realized measure of co-volatility matrix simultaneously. An alternative multivariate asymmetric function to develop news impact curves is also considered. We consider Bayesian Markov chain Monte Carlo estimation to allow non-normal posterior distributions and illustrate the usefulness of the algorithm with numerical simulations for two assets. We compare the realized MEGARCH models with existing multivariate GARCH class models for three US financial assets . The empirical results indicate that the realized MEGARCH models outperform the other models regarding out-of-sample performance. The news impact curves based on the posterior densities provide reasonable results.

ACS Style

Manabu Asai; Michael McAleer. Bayesian Analysis of Realized Matrix-Exponential GARCH Models. Computational Economics 2020, 1 -21.

AMA Style

Manabu Asai, Michael McAleer. Bayesian Analysis of Realized Matrix-Exponential GARCH Models. Computational Economics. 2020; ():1-21.

Chicago/Turabian Style

Manabu Asai; Michael McAleer. 2020. "Bayesian Analysis of Realized Matrix-Exponential GARCH Models." Computational Economics , no. : 1-21.

Review
Published: 15 October 2020 in Sci
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Many academics are critical of the current publishing system, but it is difficult to create a better alternative. This review relates to the Sciences and Social Sciences, and discusses the primary purpose of academic journals as providing a seal of approval for perceived quality, impact, significance, and importance. The key issues considered include the role of anonymous refereeing, continuous rather than discrete frequency of publications, avoidance of time wasting, and seeking adventure. Here we give recommendations about the organization of journal articles, the roles of associate editors and referees, measuring the time frame for refereeing submitted articles in days and weeks rather than months and years, encouraging open access internet publishing, emphasizing the continuity of publishing online, academic publishing as a continuous dynamic process, and how to improve research after publication. Citations and functions thereof, such as the journal impact factor and h-index, are the benchmark for evaluating the importance and impact of academic journals and published articles. Even in the very top journals, a high proportion of published articles are never cited, not even by the authors themselves. Top journal publications do not guarantee that published articles will make significant contributions, or that they will ever be highly cited. The COVID-19 world should encourage academics worldwide not only to rethink academic teaching, but also to re-evaluate key issues associated with academic journal publishing in the future.

ACS Style

Jan Magnus; Michael McAleer. The Future of Academic Journals in a COVID-19 World. Sci 2020, 2, 76 .

AMA Style

Jan Magnus, Michael McAleer. The Future of Academic Journals in a COVID-19 World. Sci. 2020; 2 (4):76.

Chicago/Turabian Style

Jan Magnus; Michael McAleer. 2020. "The Future of Academic Journals in a COVID-19 World." Sci 2, no. 4: 76.

Journal article
Published: 29 September 2020 in Renewable and Sustainable Energy Reviews
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Environmental change created worldwide interest in investing in renewable energy. Less reliance on fossil fuels would have a substantial influence on investors for alternative energy, especially renewable energy. The literature has concentrated on empirical studies of herding behaviour in finance, but not in renewable energy. This paper fills the gap by investigating herding in renewable energy, using daily closing prices in renewable and fossil fuel energy stock returns in the USA, Europe, and Asia, for March 24, 2000–May 29, 2020, which covers the Global Financial Crisis (GFC) (2007–2009), the coronavirus crises of SARS (2003). And the ongoing COVID-19 (2019–2020) pandemic. The paper shows that: (1) for low extreme oil returns, investors are more likely to display herding in the stock market; (2) for SARS and COVID-19, herding is more likely during extremely high oil returns after the GFC; and (3) herding is more likely during periods of extremely low oil returns during the coronavirus crises. These results suggest that after the GFC, investors are more sensitive to asset losses, so they will be more likely to display herding in the stock market. However, during SARS and COVID-19, investors panic so they may unwisely sell their assets. There are strong cross-sector herding spillover effects from US fossil fuel energy to renewable energy, especially before the GFC, while the US fossil fuel energy market has a significant influence on the Europe and Asia renewable energy returns during COVID-19. During SARS, which was not a pandemic, US fossil fuels only had an impact on US renewable energy returns.

ACS Style

Chia-Lin Chang; Michael McAleer; Yu-Ann Wang. Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*. Renewable and Sustainable Energy Reviews 2020, 134, 110349 -110349.

AMA Style

Chia-Lin Chang, Michael McAleer, Yu-Ann Wang. Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*. Renewable and Sustainable Energy Reviews. 2020; 134 ():110349-110349.

Chicago/Turabian Style

Chia-Lin Chang; Michael McAleer; Yu-Ann Wang. 2020. "Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*." Renewable and Sustainable Energy Reviews 134, no. : 110349-110349.

Review
Published: 21 August 2020 in Sci
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The SARS-CoV-2 virus that causes the COVID-19 disease has wreaked havoc on the world community in terms of every imaginable parameter. The research output on COVID-19 has been nothing short of phenomenal, especially in the medical and biomedical sciences, where the search for a potential vaccine is being conducted in earnest. Much of the advanced research has been distributed in the leading medical journals, including the Journal of the American Medical Association (JAMA), where the latest research is distributed on a daily basis. The purpose of this paper is to provide some perspectives on 44 interesting and highly topical research papers that have been published in JAMA, at the time of writing, within the past two weeks. The diverse topics include public health, general medicine, internal medicine, oncology, paediatrics, geriatrics, and biostatistics.

ACS Style

Michael McAleer. Perspectives on Topical Medical Research in the COVID-19 Era. Sci 2020, 2, 68 .

AMA Style

Michael McAleer. Perspectives on Topical Medical Research in the COVID-19 Era. Sci. 2020; 2 (3):68.

Chicago/Turabian Style

Michael McAleer. 2020. "Perspectives on Topical Medical Research in the COVID-19 Era." Sci 2, no. 3: 68.

Editorial
Published: 18 August 2020 in Journal of Risk and Financial Management
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This paper evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and Financial Management (JRFM). The topics covered include the rising complexity of bank regulatory capital requirements from global guidelines to their United States (US) implementation, connections among big data, computational science, economics, finance, marketing, management and psychology, factors, outcome, and the solutions of supply chain finance, with a review and future directions, time-varying price-volume relationship, adaptive market efficiency, and a survey of the empirical literature, improved covariance matrix estimation for portfolio risk measurement, stock investment and excess returns, with a critical review in the light of the efficient market hypothesis, and a cross section analysis of country equity returns, and a review of the empirical literature.

ACS Style

Michael McAleer. Review Papers for Journal of Risk and Financial Management (JRFM). Journal of Risk and Financial Management 2020, 13, 185 .

AMA Style

Michael McAleer. Review Papers for Journal of Risk and Financial Management (JRFM). Journal of Risk and Financial Management. 2020; 13 (8):185.

Chicago/Turabian Style

Michael McAleer. 2020. "Review Papers for Journal of Risk and Financial Management (JRFM)." Journal of Risk and Financial Management 13, no. 8: 185.

Journal article
Published: 04 August 2020 in Energies
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The paper features an examination of the link between the behaviour of oil prices and DowJones Index in a nonlinear autoregressive distributed lag nonlinear autoregressive distributed lag (NARDL) framework. The attraction of NARDL is that it represents the simplest method available of modelling combined short- and long-run asymmetries. The bounds testing framework adopted means that it can be applied to stationary and non-stationary time series vectors, or combinations of both. The data comprise a monthly West Texas Intermediate (WTI) crude oil series from Federal Reserve Bank of St Louis (FRED), commencing in January 2000 and terminating in February 2019, and a corresponding monthly DOW JONES index adjusted-price series obtained from Yahoo Finance. Both series are adjusted for monthly USA CPI values to create real series. The results of the analysis suggest that movements in the lagged real levels of monthly WTI crude oil prices have very significant effects on the behaviour of the DOW JONES Index. They also suggest that negative movements have larger impacts than positive movements in WTI prices, and that long-term multiplier effects take about 9 to 12 months to take effect.

ACS Style

David E. Allen; Michael McAleer. A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index. Energies 2020, 13, 4011 .

AMA Style

David E. Allen, Michael McAleer. A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index. Energies. 2020; 13 (15):4011.

Chicago/Turabian Style

David E. Allen; Michael McAleer. 2020. "A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index." Energies 13, no. 15: 4011.

Journal article
Published: 10 July 2020 in Energy Reports
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The paper examines whether the Moving Average (MA) technique can outperform random market timing in the energy sector, compiled of fossil and renewable energy producers. According to the Capital Asset Pricing Model, random timing is a superior trading strategy in the long run. However, the MA technique may be more successful, if there are predictable stochastic trends in the price series. In the paper, eight representative firms are selected for both fossil and renewable portfolios with actually tradable stocks in order to create two Exchange-Traded Funds (ETF). The paper finds that MA timing outperforms random timing for the ETF of renewable energy companies, but not for the ETF of fossil energy companies.

ACS Style

Chia-Lin Chang; Jukka Ilomäki; Hannu Laurila; Michael McAleer. Market timing with moving averages for fossil fuel and renewable energy stocks. Energy Reports 2020, 6, 1798 -1810.

AMA Style

Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila, Michael McAleer. Market timing with moving averages for fossil fuel and renewable energy stocks. Energy Reports. 2020; 6 ():1798-1810.

Chicago/Turabian Style

Chia-Lin Chang; Jukka Ilomäki; Hannu Laurila; Michael McAleer. 2020. "Market timing with moving averages for fossil fuel and renewable energy stocks." Energy Reports 6, no. : 1798-1810.

Journal article
Published: 05 June 2020 in Energies
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It is generally accepted in the scientific community that carbon dioxide (CO2) emissions, which lead to global warming, arise from using fossil fuels, namely coal, oil and gas, as energy sources. Consequently, alleviating the effects of global warming and climate change necessitates substantial reductions in the use of fossil fuel energy. This paper uses a financial market-based approach to investigate whether positive stock returns cause changes in CO2 emissions, or vice-versa, based on the Granger causality test to determine cause and effect, or leader and follower. If Granger causality can be determined in any direction, this will enable a clear directional statement regarding temporal predictability between stock returns and CO2 emissions. The empirical data include annual CO2 emissions from fuel combustion of the three main fossil energy sources, namely coal, oil and gas, based on 18 countries with sophisticated financial markets that are in the Morgan Stanley Capital International (MSCI) World Index from 1971 to 2017. The empirical results show clearly that all the statistically significant causality findings are unidirectional from the stock market returns to CO2 emissions from coal, oil and gas, but not the reverse. More importantly, the regression results suggest that when stock returns rise by 1%, CO2 emissions from coal combustion decrease by 9% among the countries that are included in MSCI World Index. Furthermore, when stock returns rise 1%, CO2 emissions from oil combustion increase by 2%, but stock returns have no significant effect on CO2 emissions from gas combustion.

ACS Style

Chia-Lin Chang; Jukka Ilomäki; Hannu Laurila; Michael McAleer. Causality between CO2 Emissions and Stock Markets. Energies 2020, 13, 2893 .

AMA Style

Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila, Michael McAleer. Causality between CO2 Emissions and Stock Markets. Energies. 2020; 13 (11):2893.

Chicago/Turabian Style

Chia-Lin Chang; Jukka Ilomäki; Hannu Laurila; Michael McAleer. 2020. "Causality between CO2 Emissions and Stock Markets." Energies 13, no. 11: 2893.

Editorial
Published: 20 May 2020 in Journal of Risk and Financial Management
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The SARS-CoV-2 coronavirus that causes the COVID-19 disease led to the most significant change in the world order over the past century, destabilizing the global economy and financial stock markets, the world’s economy, social development, business, risk, financial management and financial markets, among others. COVID-19 has generated great uncertainty, and dramatically affected tourism, travel, hospitality, supply chains, consumption, production, operations, valuations, security, financial stress and the prices of all products, including fossil fuel and renewable energy sources. This Editorial introduces a Special Issue of the Journal of Risk and Financial Management (JRFM) on the “Risk and Financial Management of COVID-19 in Business, Economics and Finance”. This Special Issue will attract practical, state-of-the-art applications of mathematics, probability and statistical techniques on the topic, including empirical applications. This paper investigates important issues that have been discussed in tourism, global health security and risk management in business as well as the social and medical sciences.

ACS Style

Chia-Lin Chang; Michael McAleer; Wing-Keung Wong. Risk and Financial Management of COVID-19 in Business, Economics and Finance. Journal of Risk and Financial Management 2020, 13, 102 .

AMA Style

Chia-Lin Chang, Michael McAleer, Wing-Keung Wong. Risk and Financial Management of COVID-19 in Business, Economics and Finance. Journal of Risk and Financial Management. 2020; 13 (5):102.

Chicago/Turabian Style

Chia-Lin Chang; Michael McAleer; Wing-Keung Wong. 2020. "Risk and Financial Management of COVID-19 in Business, Economics and Finance." Journal of Risk and Financial Management 13, no. 5: 102.

Editorial
Published: 01 May 2020 in Sustainability
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The SARS-CoV-2 virus that causes the COVID-19 disease is highly infectious and contagious. The long-term consequences for individuals are as yet unknown, while the long-term effects on the international community will be dramatic. COVID-19 has changed the world forever in every imaginable respect and has impacted heavily on the international travel, tourism demand, and hospitality industry, which is one of the world’s largest employers and is highly sensitive to significant shocks like the COVID-19 pandemic. It is essential to investigate how the industry will recover after COVID-19 and how the industry can be made sustainable in a dramatically changed world. This paper presents a charter for tourism, travel, and hospitality after COVID-19 as a contribution to the industry.

ACS Style

Chia-Lin Chang; Michael McAleer; Vicente Ramos. A Charter for Sustainable Tourism after COVID-19. Sustainability 2020, 12, 3671 .

AMA Style

Chia-Lin Chang, Michael McAleer, Vicente Ramos. A Charter for Sustainable Tourism after COVID-19. Sustainability. 2020; 12 (9):3671.

Chicago/Turabian Style

Chia-Lin Chang; Michael McAleer; Vicente Ramos. 2020. "A Charter for Sustainable Tourism after COVID-19." Sustainability 12, no. 9: 3671.

Journal article
Published: 01 May 2020 in International Journal of Environmental Research and Public Health
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Given the volume of research and discussion on the health, medical, economic, financial, political, and travel advisory aspects of the SARS-CoV-2 virus that causes the COVID-19 disease, it is essential to enquire if an outbreak of the epidemic might have been anticipated, given the well-documented history of SARS and MERS, among other infectious diseases. If various issues directly related to health security risks could have been predicted accurately, public health and medical contingency plans might have been prepared and activated in advance of an epidemic such as COVID-19. This paper evaluates an important source of health security, the Global Health Security Index (2019), which provided data before the discovery of COVID-19 in December 2019. Therefore, it is possible to evaluate how countries might have been prepared for a global epidemic, or pandemic, and acted accordingly in an effective and timely manner. The GHS index numerical scores are calculated as the arithmetic (AM), geometric (GM), and harmonic (HM) means of six categories, where AM uses equal weights for each category. The GHS Index scores are regressed on the numerical score rankings of the six categories to check if the use of equal weights of 0.167 in the calculation of the GHS Index using AM is justified, with GM and HM providing a check of the robustness of the arithmetic mean. The highest weights are determined to be around 0.244–0.246, while the lowest weights are around 0.186–0.187 for AM. The ordinal GHS Index is regressed on the ordinal rankings of the six categories to check for the optimal weights in the calculation of the ordinal Global Health Security (GHS) Index, where the highest weight is 0.368, while the lowest is 0.142, so the estimated results are wider apart than for the numerical score rankings. Overall, Rapid Response and Detection and Reporting have the largest impacts on the GHS Index score, whereas Risk Environment and Prevention have the smallest effects. The quantitative and qualitative results are different when GM and HM are used.

ACS Style

Chia-Lin Chang; Michael McAleer. Alternative Global Health Security Indexes for Risk Analysis of COVID-19. International Journal of Environmental Research and Public Health 2020, 17, 3161 .

AMA Style

Chia-Lin Chang, Michael McAleer. Alternative Global Health Security Indexes for Risk Analysis of COVID-19. International Journal of Environmental Research and Public Health. 2020; 17 (9):3161.

Chicago/Turabian Style

Chia-Lin Chang; Michael McAleer. 2020. "Alternative Global Health Security Indexes for Risk Analysis of COVID-19." International Journal of Environmental Research and Public Health 17, no. 9: 3161.

Journal article
Published: 20 April 2020 in Risks
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Tax evasion, which is typically considered an illegal activity, is a critical problem and is considered a barrier to economic growth. A review of the literature shows that tax and social security contributions, regulations, public sector services, the quality of institutions and tax compliance, play important roles in determining the degree to which firms attempt to evade taxes. Measuring tax evasion is problematic due to data requirements and inadequacies. Few tax evasion indices have been estimated but it appears that they cannot be used for international comparisons across countries. This important issue has largely been ignored in the literature, in particular for emerging markets. Consequently, this paper is conducted to develop a new tax evasion index (TEI) using the most substantial and recent data from the standardized World Bank Enterprises Survey 2006–2017. In addition, using the newly developed TEI, the paper examines the importance and contribution of information sharing and bank penetration to the degree of tax evasion in emerging markets. The paper uses a sample of 112 emerging markets from 2006–2017 and the Tobit model in estimation. The empirical findings from the paper indicate that the average TEI during the 2006–2017 period for emerging markets is 0.62, with a range of (0.25, 0.75). In addition, we find that information sharing and bank penetration negatively affect the degree of tax evasion, as proxied by the TEI, in emerging markets. The empirical results also confirm the view that large firms are considered to have adopted good tax compliance practices, while firms located in remote areas are more likely to evade taxes. Policy implications have emerged on the basis of the empirical findings from the paper.

ACS Style

Duc Hong Vo; Ha Minh Nguyen; Tan Manh Vo; Michael McAleer. Information Sharing, Bank Penetration and Tax Evasion in Emerging Markets. Risks 2020, 8, 38 .

AMA Style

Duc Hong Vo, Ha Minh Nguyen, Tan Manh Vo, Michael McAleer. Information Sharing, Bank Penetration and Tax Evasion in Emerging Markets. Risks. 2020; 8 (2):38.

Chicago/Turabian Style

Duc Hong Vo; Ha Minh Nguyen; Tan Manh Vo; Michael McAleer. 2020. "Information Sharing, Bank Penetration and Tax Evasion in Emerging Markets." Risks 8, no. 2: 38.

Editorial
Published: 17 April 2020 in Journal of Risk and Financial Management
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There is no doubt about the importance of diagnostic testing in an emergency; specifically, which range of tests is available, where and when they are dispensed, and who might be tested using laboratory-developed tests, or other diagnostic tests including experimental tests. This includes testing for the SARS-CoV-2 virus that causes the COVID-19 disease. Testing is essential to “flatten the curve” of the number of confirmed positive cases of the disease, in addition to handwashing, isolation, and social distancing, among other essential measures. Is one diagnostic test enough to obtain the correct decision about a confirmed positive outcome?

ACS Style

Michael McAleer. Is One Diagnostic Test for COVID-19 Enough? Journal of Risk and Financial Management 2020, 13, 77 .

AMA Style

Michael McAleer. Is One Diagnostic Test for COVID-19 Enough? Journal of Risk and Financial Management. 2020; 13 (4):77.

Chicago/Turabian Style

Michael McAleer. 2020. "Is One Diagnostic Test for COVID-19 Enough?" Journal of Risk and Financial Management 13, no. 4: 77.

Journal article
Published: 13 April 2020 in Risks
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The cornerstone of the capital asset pricing model (CAPM) lies with its beta. The question of whether or not beta is dead has attracted great attention from academics and practitioners in the last 50 years or so, and the debate is still ongoing. Many empirical studies have been conducted to test the validity of beta within the framework of CAPM. However, it is a claim of this paper that beta at the industry level has been largely ignored in the current literature. This study is conducted to examine if beta, proxied for a systematic risk, should be considered valid in the application of the CAPM at the industry level for Australia using daily data on 2200 stocks listed on the Australian Securities Exchange from January 2007 to 31 December 2016. Various portfolio formations are utilized in this paper. General economic conditions such as interest rate, inflation, and GDP are examples of systematic risk. Findings from this study indicate that the selection of portfolio construction, estimation technique, and news about economic conditions significantly affects the view whether or not beta should be considered as a valid measure of systematic risk.

ACS Style

Thang Cong Nguyen; Tan Ngoc Vu; Duc Hong Vo; Michael McAleer. Systematic Risk at the Industry Level: A Case Study of Australia. Risks 2020, 8, 36 .

AMA Style

Thang Cong Nguyen, Tan Ngoc Vu, Duc Hong Vo, Michael McAleer. Systematic Risk at the Industry Level: A Case Study of Australia. Risks. 2020; 8 (2):36.

Chicago/Turabian Style

Thang Cong Nguyen; Tan Ngoc Vu; Duc Hong Vo; Michael McAleer. 2020. "Systematic Risk at the Industry Level: A Case Study of Australia." Risks 8, no. 2: 36.

Review
Published: 12 March 2020 in Economies
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The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is valid, and pointed out that the financial literature has substantial evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review different market anomalies and different theories of Behavioral Finance that could be used to explain such market anomalies. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and Behavioral Finance underlie. The review is also beneficial to investors for making choices of investment products and strategies that suit their risk preferences and behavioral traits predicted from behavioral models. Finally, when EMH, anomalies and Behavioral Finance are used to explain the impacts of investor behavior on stock price movements, it is invaluable to policy makers, when reviewing their policies, to avoid excessive fluctuations in stock markets.

ACS Style

Kai-Yin Woo; Chulin Mai; Michael McAleer; Wing-Keung Wong. Review on Efficiency and Anomalies in Stock Markets. Economies 2020, 8, 20 .

AMA Style

Kai-Yin Woo, Chulin Mai, Michael McAleer, Wing-Keung Wong. Review on Efficiency and Anomalies in Stock Markets. Economies. 2020; 8 (1):20.

Chicago/Turabian Style

Kai-Yin Woo; Chulin Mai; Michael McAleer; Wing-Keung Wong. 2020. "Review on Efficiency and Anomalies in Stock Markets." Economies 8, no. 1: 20.

Journal article
Published: 07 March 2020 in Journal of Time Series Econometrics
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Recent developments in econometric methods enable estimation and testing of general long memory processes, which include the general Gegenbauer process. This paper considers the error correction model for a vector general long memory process, which encompasses the vector autoregressive fractionally integrated moving average and general Gegenbauer processes. We modify the tests for unit roots and cointegration, based on the concept of heterogeneous autoregression. The Monte Carlo simulations show that the finite sample properties of the modified tests for unit roots are satisfactory, while the conventional tests suffer from size distortion. The experiments also indicate that the modified tests for cointegration improve the problem of finding too many cointegration relationships which arises for fractionally integrated series. Empirical results for interest rates series for the USA and Australia indicate that: (1) the modified unit root test detected unit roots for all series; (2) after differencing, all series favour the general Gegenbauer (GG) process; (3) the modified test for cointegration found only two cointegrating vectors; and (4) the zero interest rate policy in the USA had no effect on the cointegrating vectors for the two countries.

ACS Style

Manabu Asai; Shelton Peiris; Michael McAleer; David E. Allen. Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates. Journal of Time Series Econometrics 2020, 12, 1 .

AMA Style

Manabu Asai, Shelton Peiris, Michael McAleer, David E. Allen. Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates. Journal of Time Series Econometrics. 2020; 12 (1):1.

Chicago/Turabian Style

Manabu Asai; Shelton Peiris; Michael McAleer; David E. Allen. 2020. "Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates." Journal of Time Series Econometrics 12, no. 1: 1.

Editorial
Published: 03 March 2020 in Journal of Risk and Financial Management
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A novel coronavirus was reported to the World Health Organization (WHO) in China on 31 December 2019. The WHO named the disease COVID-19 on 11 February 2020. As of 26 February 2020, the disease has been detected on all continents, except for Antarctica. Daily updates on COVID-19 since early February 2020 have made headline news worldwide for much of 2020. This editorial evaluates risk management based on the Global Health Security (GHS) Index of global health security capabilities in 195 countries. The GHS Index lists the countries best prepared for an epidemic or pandemic. COVID-19 is compared with two related coronavirus epidemics, SARS and MERS, in terms of the number of reported human infections, deaths, countries, major country clusters, timelines, and the likelihood of discovering a safe, effective, and approved vaccine.

ACS Style

Michael McAleer. Prevention Is Better Than the Cure: Risk Management of COVID-19. Journal of Risk and Financial Management 2020, 13, 46 .

AMA Style

Michael McAleer. Prevention Is Better Than the Cure: Risk Management of COVID-19. Journal of Risk and Financial Management. 2020; 13 (3):46.

Chicago/Turabian Style

Michael McAleer. 2020. "Prevention Is Better Than the Cure: Risk Management of COVID-19." Journal of Risk and Financial Management 13, no. 3: 46.