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RESEARCH

Diaz applied the following methodologies in his research papers: ordinary least squares regression, fixed and random effects models, Chow structural break test; Granger causality test, autoregressive integrated moving average models; univariate and multivariate generalized autoregressive conditional heteroscedasticity models; fractional integration models;  Brock, Dechert & Scheinkman test; correlation dimension analysis; reschaled range analysis/Hurst exponent; Lyapunov exponent; grey relational analysis; artificial neural networks; and non-parametric survival models. His research interests are in modeling financial and economic time-series and panel data, particularly using non-linear methods. 

 

Diaz utilized the following software in running the models: Microsoft Excel, Eviews, OxMetrics, Neural Networks, Stata, and Chaos Data Analyzer.

Book Publications

Note: offers a comprehensive introduction to the latest generation of collective investments in relation to debt securities called exchange-traded notes (ETNs); and aims to show how ETNs are introduced to finance, how are they constructed, how they work, and how they track different asset classes

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Note: (in progress) will provide examples of applications of several econometric methodologies in relation to return and volatility spillovers, constant and dynamic volatility movements, and nonlinear properties of financial time-series data

 

Journal Publications

for details of Diaz's published manuscripts, email him using the CONTACT's tab

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  • 46) Diaz, J.F. and T.T. Nguyen (2020) Grey Relational Grades and Neural Networks: Empirical Evidence on Vice Funds. Ethique et Economique/Ethics and Economics. 17(1), 76-95. (Indexed: Econlit)

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  • 45) Diaz, J.F. and J.H. Chen (2020) Application of Grey Relational Analysis and Artificial Neural Networks on Currency Exchange-traded Notes. Studies in Nonlinear Dynamics and Econometrics, 24(2). (Indexed: ABS Tier 2, SSCI, Scopus)

 

  • 44) Tan, G.L. and  J.F. Diaz  (2020) Real GDP growth rates of the ASEAN region: Evidence of spillovers and asymmetric volatility effects. Labuan Bulletin of International Business and Finance. Conditionally accepted. (Indexed: Econlit)

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  • 43) Chen, J.H. and J.F. Diaz (2019) The Spillover and Leverage Effects of Equity Exchange-traded Notes (ETNs). Global Economy Journal, 19(3). (Indexed: ABS Tier 1, Scopus)

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  • 42) Pandey, R. and J.F. Diaz (2019) Factors Affecting Return on Assets of U.S. Publicly-listed Technology and Financial Corporations. Journal of Management and Entrepreneurship.

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  • 41) Matero, M.J., C. Matero, and J.F. Diaz (2019) Corruption, Negligence, and Mismanagement at the Dutch East India Company. Moral Cents: Financial Ethics Journal. 8(2), 55-61.

 

  • 40) Nguyen, Q.T., J.F. Diaz, J.H. Chen and M.Y. Lee (2019) Fractional Integration in Corporate Social Responsibility Indices: A FIGARCH and HYGARCH Approach. Asian Economic and Financial Review, 9(7), 836-850. (Indexed: Scopus)

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  • 39) Diaz, J.F. (2019) Best World Resources Stock Scandal of 1999 and enactment of the Philippine Securities Regulation Code of 2000. The Moral Cents: Financial Ethics Journal. 8(1), 1-7.

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  • 38) Diaz, J.F. and D.T. Kien (2019) Tourism Finance: Investing and Financing in Sustainable Tourism. Journal of Economy and Business, 6(1), 1-7.

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  • 37) Liu, L.L., and J.F. Diaz (2018) Influence of Investor Sentiment, Characteristics, and Information Sequence on Stock Investment Decision: Evidence from the Taiwanese Market. Labuan Bulletin of International Business and Finance. 16(1), 25-35. (Indexed: Econlit)

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  • 36) Diaz, J.F. (2018) Volatility Dynamics in the ASEAN-China Free Trade Agreement. Journal of Emerging Market Finance. 17(3), 287-306. (Indexed: ABS Tier 2, Econlit, Scopus, Emerging Sources CI)

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  • 35) Diaz, J.F., P.Y. Qian, and G.L. Tan  (2018) Variance Persistence in the Greater China Region: A Multivariate GARCH Approach. The Lahore Journal of Economics, 23(2), 49–68.

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  • 34) Diaz, J.F.  (2018) Finance Ethics with a Massive Open Online Course. Finance and Common Good / Bien Commun, 44&45, 167-182.

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  • 33) Chang, K.H., M.N. Young, and  J.F. Diaz  (2018) Portfolio Optimization Utilizing the Framework of Behavioral Portfolio Theory. International Journal of Operation Research, 1-14.

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  • 32) Liu, L.L., C.Y. Lin, J.F. Diaz, and F.H. Fan (2018) Factors affecting budget preparation and flexibility: Evidence from Taiwanese local government units. Asian-African Journal of Economics and Econometrics, 18(1), 167-175. (Indexed: Econlit)  

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  • 31) Diaz, J.F. and J.H. Chen (2017) Testing for Long-Memory and Chaos in the Returns of Currency Exchange-Traded Notes (ETNs). Journal of Applied Finance and Banking, 7(4), 15-37.  

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  • 30) Diaz, J.F. and M.C. Hindro  (2017) Factors Affecting the Profitability of Indonesian Real Estate Publicly-listed Companies. Asian Journal of Finance and Accounting, 9(1). (Indexed: Econlit)

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  • 29) Tong, T.T. and J.F. Diaz (2017) Determinants of Banks’ Capital Structure: Evidence from Vietnamese Commercial Banks. Asian Journal of Finance and Accounting, 9(1). (Indexed: Econlit)

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  • 28) Peh, Y.Q. and J.F. Diaz (2017) Volatility integration of global stock market with the Malaysian stock markets: A multivariate GARCH approach. Malaysian Journal of Economic Studies, 54(1). (Indexed: Econlit, Scopus, Emerging Sources CI)

 

  • 27) Masa, A.S. and J.F. Diaz (2017) Long-memory Modeling and Forecasting of the Returns and Volatility of Exchange-traded Notes. Journal of Applied Economic Research. 11(1), 23-53. (Indexed: Econlit, Scopus)

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  • 26) Chen, J.H. and J.F. Diaz (2016) Volatility Dynamics in the Returns of Commodity Exchange-traded Notes (ETNs). Journal of Futures and Options, 9(2), 93-136. (Indexed: Taiwan SSCI)

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  • 25) Diaz, J.F. (2016) On the Predictability and Resilience of Gold Price's Returns and Volatility. Journal of Applied Finance and Banking, 6(6), 23-32. (Indexed: Econlit)

 

  • 24) Nguyen, H.T. and J.F. Diaz (2016) Existence of Positive Dependence, Asymmetry and Leverage Effects in Real Estate Exchange-traded Funds (ETFs). International Research Journal of Commerce and Management (New name: Review of International Business and Strategy). 7(3), 61-71. (Indexed: ABS Tier 1, Econlit, Scopus, Emerging Source CI)

 

  • 23) Liu, Y.L., L.L. Liu and J.F. Diaz (2016) Effect of Managerial Overconfidence and Compensation on Share Repurchase: Empirical Evidence from Taiwanese Firms, 12(1), 153-179. (Indexed: Econlit, Scopus, Emerging Sources CI)

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  • 22) Diaz, J.F. (2016) Do Scarce Precious Metals Equate to Safe Harbor Investments: The Case of Platinum and Palladium, Economics Research International, 1-8. (Indexed: Econlit)

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  • 21) Diaz, J.F. (2016) Return and volatility performance comparison of Ethical and Non-ethical publicly-listed financial services companies. Ethics and Economics, 13(1), 1-13. (Indexed: Econlit)

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  • 20) Chen, J.H. and J.F. Diaz (2015) Positive Dependence and Volatility Asymmetry in the Returns of the Largest Emerging Markets ETFs. International Journal of Management Research, 6(2), 1-11.

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  • 19) Diaz, J.F. and H.T. Nguyen (2015) Fractional Integration in the returns of the largest Real Estate Exchange-traded Funds. International Journal of Commerce and Strategy, 7(3), 171-180. 

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  • 18) Diaz, J.F., G.L. Tan and Y.Q. Peh (2015) Return and Volatility Transmissions in Asia’s Top Emerging Economies. Euro-Asian Journal of Economics and Finance, 3(3), 125-132.

 

  • 17) Chen, J.H. and J.F. Diaz (2015) Positive Dependence and Asymmetry in the Stock Returns of the Top Emerging Economies. International Research Journal of Marketing and Economics, 2(7), 46-58.

 

  • 16) Diaz, J.F. (2015) Chaos in Returns and Volatilities of the London Gold Fix. Chaos and Complexity Letters, 9(3), 14-27.

 

  • 15) Chen, J.H. and J.F. Diaz (2015) Chaotic Properties of the Philippine Stock Exchange Index. International Research Journal of Applied Finance, 6(3), 152-167. Forthcoming. (Indexed: Econlit) 

 

  • 14) Liu, L.L.,  J.F. Diaz and E. Ivagov (2014) Linkages in Corporate Social responsibility Indices and Major Financial Market Indices. Journal of Advanced Studies in Finance,  2(10), 157-163. (Indexed: Econlit) 

 

  • 13) Chen, J.H. and J.F. Diaz (2014) Study of Macroeconomic and Monetary Factors in Reoccurring Economic Recessions. Journal of Applied Economics and Business Research. 4(4), 263-279 (Indexed: Econlit) 

 

  • 12) Chen, J.H. and J.F. Diaz (2014) The Seasonal and Spillover Effects of Real Estate Investment Trusts (REIT) Exchange-Traded Funds (ETFs). International Journal of Research in Finance and Marketing, 4(9), 1-13. (Indexed: Econlit) 

 

  • 11) Diaz, J.F. and A.S. Masa (2014) Positive dependence and volatility asymmetry properties of the largest exchange-traded notes (ETNs). Euro-Asian Journal of Economics and Finance, 2(2), 100-107.

 

  • 10) Chen, J.H., Y.F. Wang, C.C. Ko, and J.F. Diaz (2014) The influence of macroeconomic factors and banking fragility on offshore banking unit. Asia Pacific Management Review, 18(4), 407-425. (Indexed: Econlit, Scopus, Taiwan SSCI, Emerging Sources CI)

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  • 9) Chen, J.H. and J.F. Diaz (2014) Predictability and Efficiency of the Philippine Stock Exchange Index. Journal of Business and Economics, 5(4), 535-539. 

 

  • 8) Lee, C.W., J.F. Diaz and H.N. Truong (2014) Existence of Persistent Temporal Dependence in Asian Emerging Markets Exchange-traded Funds. International Journal of Research in Finance and Marketing, 4(7), 19-35. (Indexed: Econlit)

 

  • 7) Chen, J.H., J.F. Diaz, and Y.F. Huang (2013) High Technology ETF Forecasting: Application of Grey Relational Analysis and Artificial Neural Networks. Frontiers in Finance and Economics, 10(2), 129-154. (Indexed: Econlit)

 

  • 6) Chen, J.H., T.T. Chang, C.R. Ho, and J.F. Diaz (2013) Grey Relational Analysis and Neural Network Forecasting of REIT. Quantitative Finance Journal, 14(11), 2033-2044. (Indexed: ABS Tier 3, SSCI, Scopus)

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  • 5) Chen, J.H. and J.F. Diaz (2013) Testing for long-memory and shifts in the returns of green and non-green exchange-traded funds. International Journal of Humanities and Social Science Invention, 2(10), 29-32.

 

  • 4) Diaz, J.F. (2013) Evidence of Noisy Chaotic Dynamics in the Returns of Four Dow Jones Stock Indices. Annual Review of Chaos Theory, Bifurcations and Dynamical Systems, 4, 1-15.

 

  • 3) Chen, J.H. and J.F. Diaz (2012) Trade and monetary factors in the reoccurrence of economic expansions in developed nations. International Research Journal of Applied Finance, 3(2), 245-262. (Indexed: Econlit)

 

  • 2) Chen, J.H. and J.F. Diaz (2012) Spillover and leverage effects of faith-based exchange traded funds. Journal of Business and Policy Research, 7(2), 1-12.

 

  • 1) Chen, J.H. and J.F. Diaz (2012) Spillover and asymmetric-volatility effects of leveraged and inverse leveraged exchange traded funds. Journal of Business and Policy Research, 7(3), 1-10.

Doctoral Dissertation

  • Main Title: Four Essays on the Spillover Effects, Volatility Dynamics, Nonlinearities and Forecasting: Evidence from Exchange-traded Notes (ETNs)


     1. Spillover and leverage effects of equity exchange-traded notes

   2. Volatility dynamics on the returns of commodity exchange-traded notes

   3. Long memory and chaos on the returns of currency exchange-traded notes

   4. Application of grey relational analysis and artificial neural networks on the returns              of currency exchange-traded notes

 

Working Papers

  • Which came first, the chicken or the egg? What about Ducks?: Granger Causality using Philippine poultry data – Diaz & Diaz

  • Structural Breaks and Volatility Transmissions in the Stock Markets of the Greater China Region - Diaz & Chen

  • Dynamic Volatility Spillovers across the Stock Markets of the Mainland China, Hong Kong and Taiwan - Diaz

  • Determinants of Acquisition's Profitability: Evidence on Taiwanese Publicly-listed Companies - Diaz & Wang

  • ​Application of Grey Relational Analysis and Artificial Neural Networks on Corporate Social Responsibility (CSR) Indices - Diaz & Lee

  • G​rey Relational Grades and Neural Networks: Empirical Evidence on Vice Funds - Diaz & Lee

  • ​​Energy Metal Grains futures: Asymmetric Volatility, Leverage Effects and Long-memory Characteristics - Diaz & Goh 

  • Grey Relational Analysis and Artificial Neural Networks: Evidence from Semiconductor and Broad Technology ETFs - Sutanto & Diaz

  • Nonlinear and Error Minimization Modelling of Internet-, Software-, and Social Media-based Exchange-traded Funds – Diaz & Sutanto

  • Factors Affecting Cash Holdings in Publicly-listed Firms: Evidence from Taiwan and Vietnam Economies – Balgos & Diaz

  • Portfolio Optimization Procedure Utilizing Behavioral Portfolio Theory: Evidence from the Exchange-traded Products Market – Young, ChuaHay & Diaz

  • Housing Price Bubbles in Hong Kong, Shanghai and Taipei: A Comparative Analysis - Chen, Chen & Diaz

  • An Empirical Study of the Spillover and Leverage Effects of Country-specific Global Equity Exchange Traded Funds (ETFs) – Diaz, Thuan & Kien

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John Francis T. Diaz, PhD, RFP

 

Associate Professor,
Department of Finance and Accounting
Asian Institute of Management
Makati City, Philippines
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