Research Article
Forecasting Asset Covariances and Variances Using
Multi-scale Risk Models: Evidence from the Amman Stock Exchange
Said Sami Al Hallaq*
,
Mohammad Ajlouni,
Laith Abu- Alfoul
Issue:
Volume 11, Issue 1, March 2026
Pages:
1-15
Received:
27 October 2025
Accepted:
6 November 2025
Published:
28 February 2026
DOI:
10.11648/j.jbed.20261101.11
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Views:
Abstract: This study aims to forecast asset variances and covariances through the application of multi-scale risk models. Using daily data for 61 firms listed on the Amman Stock Exchange (ASE) over the period from January 1, 2001, to December 31, 2015, the analysis investigates the dynamic behaviour of asset returns across different time horizons. To enhance the robustness and reliability of the findings, several econometric and statistical techniques are employed, including the CUSUM test to assess structural stability, the Granger causality test to examine predictive relationships, wavelet transformation to capture time-frequency dynamics, and unit root tests to verify stationarity properties. The multi-scale risk model serves as the principal analytical framework, allowing for a comprehensive examination of the evolving interdependencies among asset returns. The empirical results indicate that market risk premium coefficients significantly explain variations in portfolio returns, highlighting the importance of systematic risk factors in asset pricing. Furthermore, portfolios composed of lower-value stocks outperform those containing higher-value stocks, while smaller-sized portfolios consistently generate higher returns than larger-sized portfolios during the sample period. Overall, the findings demonstrate the effectiveness of multi-scale risk models in forecasting asset variances and covariances. The model exhibits strong explanatory power in capturing daily portfolio return dynamics on the ASE, thereby contributing to improved portfolio optimization strategies and more accurate risk prediction. These results underscore the practical and theoretical value of multi-scale modelling in financial risk management.
Abstract: This study aims to forecast asset variances and covariances through the application of multi-scale risk models. Using daily data for 61 firms listed on the Amman Stock Exchange (ASE) over the period from January 1, 2001, to December 31, 2015, the analysis investigates the dynamic behaviour of asset returns across different time horizons. To enhance...
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Research Article
Harnessing Knowledge Management Infrastructure Capability for Valuable Organizational Results:
The Moderating Role of Regulatory Framework
Issue:
Volume 11, Issue 1, March 2026
Pages:
16-30
Received:
25 January 2026
Accepted:
9 February 2026
Published:
28 February 2026
DOI:
10.11648/j.jbed.20261101.12
Downloads:
Views:
Abstract: Deposit-Taking Savings and Credit Cooperative Societies (DT-SACCOs) are essential drivers of economic development through enhancing financial inclusion and fostering economic growth within communities. Despite their importance, DT-SACCOs in Kenya are facing declining performance. This study investigated whether the regulatory framework moderates the relationship between knowledge management infrastructure capability and the organizational performance of DT-SACCOs in Kenya. In this study, knowledge management infrastructure capability is recognized as a strategic tool that is designed to make organizational performance better. Given that DT-SACCOs operate within a heavily regulated environment, it is hypothesized that regulatory framework influences how investments in knowledge management infrastructure capability translate into organizational performance improvements. Anchored in the resource-based view theory, knowledge-based view theory and the balanced scorecard model with support from open systems theory to explain the moderating influence of regulation, this study adopted descriptive and explanatory research designs under a positivism philosophy. The research targeted 176 DT-SACCOs in Kenya, focusing on 880 managers across finance, human resources, ICT, legal and marketing at their headquarters. Using stratified proportional sampling, 275 respondents from 55 randomly selected DT-SACCOs participated in the study. Data was collected via a semi-structured questionnaire, with reliability confirmed through Cronbach’s Alpha coefficients exceeding 0.7. Validity was ensured through face, content, and construct assessments. Descriptive statistics outlined the characteristics of study variables, while multiple regression analysis examined the relationships among knowledge management infrastructure capability, organizational performance, and the moderating role of the regulatory framework. Findings revealed that KMIC significantly enhances organizational performance in DT-SACCOs and that the regulatory framework positively moderates this relationship. The study advises DT-SACCOs to prioritize recruiting skilled managers, fostering transparent and accessible service environments, and focusing employee training on quality service delivery. Additionally, it recommends that DT-SACCOs maintain flexibility in managing resources to effectively capitalize on emerging business opportunities.
Abstract: Deposit-Taking Savings and Credit Cooperative Societies (DT-SACCOs) are essential drivers of economic development through enhancing financial inclusion and fostering economic growth within communities. Despite their importance, DT-SACCOs in Kenya are facing declining performance. This study investigated whether the regulatory framework moderates th...
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