Aleksandar Šević
Trinity College, Dublin
FinanceInvestment strategyFinancial economicsEmerging marketsAccountingEconomyLogitCorporate social responsibilityBusinessEconometricsEconomicsPolitical scienceExtant taxonMarket liquidityBond marketStock exchangePerspective (graphical)Investment (macroeconomics)Equity (finance)Financial crisisStock marketFinancial integrationQuantitative easingAdverse selectionCorporate governancePublic relationsComputer scienceRestructuringSocial mediaMarket microstructureMonetary economicsCrowdsourcingSustainabilityBondFinancial systemLeverage (finance)Social networkVolatility (finance)
33Publications
7H-index
136Citations
Publications 29
Newest
#1Alexey Rubtsov (RyeU: Ryerson University)H-Index: 5
#2Wei Xu (RyeU: Ryerson University)
Last. Željko Šević (UUM: Universiti Utara Malaysia)
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Abstract In this manuscript, we examine the welfare benefits of climate risk hedges and the effects of climate uncertainty on optimal portfolios with different investment horizons. We consider the case when an investor who trades in a stock market also holds a claim that pays off when an adverse climate scenario materializes. The optimal investment strategy, the price of the claim, and the cost of climate change uncertainty are derived. It is shown that climate uncertainty reduces stock investme...
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#1Brian M. Lucey (USYD: University of Sydney)H-Index: 56
#2Maurice Peat (USYD: University of Sydney)H-Index: 10
Last. Samuel A. Vigne (Trinity College, Dublin)H-Index: 11
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We show that the statistical properties of gold are negatively correlated with equities and that including Gold in a portfolio will provide diversification benefits. As there is no consensus on the proportion of gold that should be included in a strategic portfolio allocation we propose a visual tool that associates a performance metric with a range of possible asset weighting schemes; a Sharpe ratio response surface. This very surface shows that a target performance metric can be achieved with ...
1 CitationsSource
#2Zhongfei Chen (JNU: Jinan University)
Last. Aleksandar Šević (Trinity College, Dublin)H-Index: 7
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Abstract In this study, we investigate the motives and results of US political pressure on the RMB exchange rate. “Classified event-abnormal return rate method” is applied to determine whether political pressures from the US caused abnormal return rate of the RMB exchange rate from July 22, 2005, to December 31, 2018. After examining the combined effect of various types of pressure events, we found that in general, the US political pressure events did not cause the abnormal return rate of the RM...
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#1M. Ángeles López-Cabarcos (University of Santiago de Compostela)H-Index: 9
#2Ada María Pérez-Pico (University of Santiago de Compostela)H-Index: 6
Last. Aleksandar Šević (Trinity College, Dublin)H-Index: 7
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Abstract Bitcoin is the cryptocurrency with the largest market capitalization, and many studies have examined its role in financial markets. In this manuscript, we contribute to the extant body of knowledge by analyzing the Bitcoin behavior and the effect that investor sentiment, S&P 500 returns, and VIX returns have on Bitcoin volatility using GARCH and EGARCH models. The results suggest that Bitcoin volatility is more unstable in speculative periods. In stable periods, S&P 500 returns, VIX ret...
14 CitationsSource
Last. Aleksandar Šević (Trinity College, Dublin)H-Index: 7
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Abstract Stock market price prediction has improved due to social network activity since social networks can provide useful information, for example, on message sentiment. Few studies have analysed the influence of social networks on the bond market, and even fewer have specifically analysed the influence on the green bond market. By financing environmental projects that promote sustainability, green bonds are becoming increasingly important because of their relationship with major issues, such ...
9 CitationsSource
#1Dubravka Sinčić Ćorić (University of Zagreb)H-Index: 4
#2Andrea Lučić (University of Zagreb)H-Index: 3
Last. Željko Šević (UUM: Universiti Utara Malaysia)
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Abstract In this manuscript, we explore the implementation of sustainable marketing orientation (SMO) within the start-up context. SMO is modelled as a three-dimensional formative construct comprising strategic integration, societal engagement, and ethical capabilities. In addition, in this study, we expand knowledge by extending the SMO literature and building ties between the theory of planned behaviour and sustainable marketing theoretical perspectives, by integrating attitudes, subjective no...
2 CitationsSource
In Vietnam, following the process of financial liberalization, the rapid banking expansion has resulted in structural frangibility and bad debt proliferation with negative implication for bank performance. This is the first comprehensive study that evaluates the performance of the Vietnamese banking system at the start of the Global Financial Crisis in 2008 up to 2016. We show that the Vietnamese banking system experienced a downward trend in technical efficiency over the liberalization period. ...
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#1Bing Dong (Shanghai University of International Business and Economics)H-Index: 1
#2Wei Xu (RyeU: Ryerson University)
Last. Zeljko Sevic (UUM: Universiti Utara Malaysia)H-Index: 9
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Abstract Variable annuities (VA) with various guarantees are popular retirement products in the past decades. However, due to the sophistication of the embedded guarantees, most existing methods only focus on the one of embedded guarantees underlying one specified stochastic model. The method to evaluate VAs with all guarantees and manage its risk is very limited, except for the Monte Carlo method. In this paper, we propose an efficient willow tree method to evaluate VAs embedded with all popula...
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#1Roman Matousek (University of Nottingham)H-Index: 23
#2Stephanos Τ. Papadamou (UTH: University of Thessaly)H-Index: 1
Last. Nickolaos G. Tzeremes (UTH: University of Thessaly)H-Index: 22
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Abstract This study contributes to current research on quantitative easing. We provide a novel analysis of the quantitative easing effectiveness as an unconventional monetary policy tool in Japan over the last two decades. The paper advances current research on quantitative easing by exploring quantitative easing through the prism of the monetary transmission mechanism. We examine the response of Japanese Regional Banks to the quantitative easing operations conducted by the Bank of Japan from th...
16 CitationsSource
#1Marta Degl'Innocenti (University of Southampton)H-Index: 8
#2Kevin Grant (Dund.: University of Dundee)H-Index: 13
Last. Nickolaos G. Tzeremes (UTH: University of Thessaly)H-Index: 22
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This paper provides nuanced evidence on the effect of competitiveness and financial stability on banks' innovation-capacity (technological-change) levels during the Global Financial Crisis (GFC) in 2007–2008. We applied contemporary developments in non-parametric frontier analysis, employing a new index, the Global Financial Centres Index, to measure the business competitiveness of 45 financial centres. Our findings indicated a nonlinear and positive relationship between financial centres' compe...
14 CitationsSource