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The paper deals with the existence of positive solutions for a coupled system of nonlinear fractional differential equations with p-Laplacian operator and involving both right Riemann–Liouville and left Caputo-type fractional derivatives. The existence results are obtained by the help of Guo–Krasnosel'skii fixed-point theorem on a cone in the sublinear case. In addition, an example is included to illustrate the main results.

Fixed-point theorems.

No finding.

The obtained results are original.

In this paper, we empirically examine the volatility process of Korean stock market returns using the KOSPI200. To investigate the property of the process, we use the FIGARCH (Fractionally Integrated GARCH) model that includes GARCH and 1GARCH processes as special cases. Since the FIGARCH model allows fractional integration order, it can detect hyperbolically decaying volatility processes with cannot be explained by existing models with integer integration order. The result shows that the KOSPI200 exhibits long-term dependencies. To investigate the robustness of the obtained result, we analyze the time and cross-sectional aggregation effect using weekly data and individual stock returns that the KOSPI200 is comprised of. The long memory property of the KOSPI200 does not seem to be spuriously induced by aggregation.

The authors discover a new identity concerning differentiable mappings defined on m-invex set via fractional integrals. By using the obtained identity as an auxiliary result, some fractional integral inequalities for generalized relative semi- m-(r;h1,h2)-preinvex mappings by involving generalized Mittag-Leffler function are presented. It is pointed out that some new special cases can be deduced from main results of the paper. Also these inequalities have some connections with known integral inequalities. At the end, some applications to special means for different positive real numbers are provided as well.

The purpose of this paper is to explore the impact of recent developments in corporate reporting, specifically from the carbon disclosure project (CDP) environment, in the evolution of European post-crisis financial markets.

Theoretical and instrumental advancements from nonlinear dynamics have been applied to the analysis of market behaviour and the online presence or reputation of major European listed banks.

The application of a nonlinear statistical methodology (i.e. the autoregressive fractionally integrated moving average [ARFIMA] estimation model) demonstrates the presence of a long history of collected data, thus indicating a certain degree of predictability in the time series. Also, this study confirms the existence of structural breakpoints, specifically the impact of the CDP reporting in both stock prices and online search trends of the sampled companies for certain periods.

This study introduces new methodological perspectives in corporate reporting studies, as the application of nonlinear techniques can be more effective in capturing corporate transparency issues. A limitation to overcome is to explore whether the impact of reporting is different due to the specific reporting behaviour each company adopts.

The “breakpoint” concept should enlighten the importance to firms of providing more information in specific moments, which can impact on both traditional (i.e. stock prices) and modern (i.e. online popularity) performance metrics. Additionally, it should be taken into account by stakeholders, when analysing the accountability of firms to improve their decision-making processes and policymakers, for monitoring and contrasting speculative and insider trading activities.

Online search trends represent a new public attitude to how society “measures” the effectiveness of firms’ disclosure behaviours.

Combining ARFIMA with structural break techniques can be regarded as a relevant and complementary addition to classic “market reaction” or “value relevance” techniques.

This study examines the co-integration relationships between Association of Southeast Nations (ASEAN) stock indices as a way to assess the feasibility of policy initiatives to strengthen market integration in ASEAN and identify implications for portfolio investors.

The authors employ threshold co-integration tests and a non-linear autoregressive distributed lag (NARDL) model to study the asymmetric dynamics of ASEAN equity markets. The study’s data cover the 2009–2022 period for seven member states: Cambodia, Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam.

The authors find evidence supporting co-integration relationships; adjustment toward equilibrium is asymmetric in the short run and symmetric in the long run for these countries. While co-movement in ASEAN equity markets seems encouraging for initiatives seeking to foster financial integration in regional economies, the benefits for international portfolio diversification appear to be neutralized.

The issue of stock market integration is important among policymakers, investors and academics. This study examines the level of stock market integration in ASEAN during the 2009–2022 period. For this purpose, advanced co-integration techniques are applied to different frequencies of data (daily, weekly and monthly) for comparison and completeness. The empirical analysis of this study is conducted using the Enders and Siklos (2001) co-integration and threshold adjustment procedure. This advanced co-integration technique is superior compared to other co-integration techniques by permitting asymmetry in the adjustment toward equilibrium.

In this research, we examine the role of financial development, FDI, democracy and political instability on economic growth in West Africa.

The study uses the dynamic fixed effects technique on the secondary data obtained from 1996 to 2016.

Our empirical findings suggest that even though no significant relationship is established in the short run, the long-run coefficient of FDI is found to be significant and positive; a 1% increase in FDI inflow into the West African sub-region results in a 0.26% increase in economic growth. The coefficient of democracy is significant neither in the short run nor in the long run, but political instability is found to significantly and negatively impact the growth of the countries. Finally, the estimate of financial development–growth nexus follows the supply-leading hypothesis.

This research affirms the proposition that FDI is a relevant means of technology and knowledge transfers, thus resulting in increasing returns to production as a result of productive spillovers, which drives the growth of the economy. Consequently, an efficient institution – where the rule of law, political stability and economic freedom are top priorities – is a key to accelerate the growth of the West African economy. Similarly, we confirm the validity of the supply-leading hypothesis in West Africa. As such, by deepening the financial system, the growth of the subregion is propelled because an efficient financial system is a basis for sustainable development.

The applicable policies are those that promote growth through FDI, financial development, democracy and political instability. The governments of West African countries are enjoined to promote policies that attract FDI into the subregion and promote financial sector credits so that economic performances may be enhanced. In addition, the governments of West African subregion should fully entrench democratic practices and enhance a stable and sustainable political environment. This will not only restore investor confidence but will also facilitate the inflow of FDI into the West African economy.

Our study is the first to jointly examine these important growth determinants, especially in the context of West Africa. This becomes necessary in order to open the eyes of policy makers to the need for entrenched full democracy and to proffer sustainable cures to the frequent unrests in the subregion. The use of Pesaran (2007) technique of unit root is also a deviation from several existing studies. One advantage of this technique over others is that being a second-generation test, it tests variable unit root in the presence of cross-sectional dependence.

This study focuses on forecasting the price of the most important export crops of vegetables and fruits in Egypt from 2016 to 2030.

The study applied generalized autoregressive conditional heteroskedasticity (GARCH) model and autoregressive integrated moving average (ARIMA) model.

The results show that ARIMA (1,1,1), ARIMA (2.1,2), ARIMA (1,1,0), ARIMA (1,1,2), ARIMA (0,1,0) and ARIMA (1,1,1) are the most appropriate fitted models to evaluate the volatility of price of green beans, tomatoes, onions, oranges, grapes and strawberries, respectively. The results also revealed the presence of ARCH effect only in the case of Potatoes, hence it is suggested that the GARCH approach be used instead. The GARCH (1,1) is found to be a better model in forecasting price of potatoes.

The study of food price volatility in developing countries is essential, since a significant share of household budgets is spent on food in these economies, so forecasting agricultural prices is a substantial requirement for drawing up many economic plans in the fields of agricultural production, consumption, marketing and trade.

This study aims to organise and present the development of asset pricing models in the international environment. The stock market integration and cross-listing lead us to another objective of bibliometric analysis for “International Asset Pricing” to provide a complete overview and give scope and directions for future research.

Web of Science database is used to search with “International Asset Pricing.” Of 3,438 articles, 2,487 articles are selected for the final bibliometric analysis. Various research such as citation analysis, keyword analysis, author’s and corresponding author's analysis have been conducted.

The bibliometric analysis finds that the USA comes out to be the country where the maximum research was conducted on the topic. The keyword analysis was also analysed to evaluate the significant areas of the research. Risk, return and international asset pricing are the most frequently used keywords. The year 2020 has the maximum number of published research articles and citations due to the change in the market structure worldwide and the effect of Covid-19 across the world.

The present paper provides the collection, classification and comprehensive analysis of “International Asset pricing,” which may help the academicians, researchers and practitioners for future research for the relevant subject area.

The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies.

This paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet Transform (CWT) to test the research objective. The period of analysis involved monthly data from 2003 until 2019.

This paper provides evidence where the Malaysian stock market to be the least exposed to risks emanating from Chinese EPU, followed by Singapore, the Philippines, Thailand and Indonesia. Results for investment opportunities based on time horizon suggest, for a short-term holding period, investors are better off investing in Singapore and Indonesia, while, for medium-term holding periods, all ASEAN markets appear lucrative except for the Philippines.

From a managerial perspective, the outcome or findings of this study are expected to aid the retail and institutional investors in designing better strategies on diversifying a stock portfolio with different holding periods.

Theoretically, the findings of this study contribute fresh insights into an emerging strand of literature focusing on the transmission of regional policy. Methodologically as well, this study is a novel venture to the best of authors' knowledge.

The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account.

In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market.

This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market.

This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered.

This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market.

Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market.