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1 – 10 of over 2000
Book part
Publication date: 16 February 2006

Seppo Pynnönen

The biggest enlargement of the European Union (EU) took place in May 2004 when 10 new countries (Cyprus, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Malta, Poland…

Abstract

The biggest enlargement of the European Union (EU) took place in May 2004 when 10 new countries (Cyprus, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Malta, Poland, Slovakia, and Slovenia) joined the union, increasing the number of member states from 15 to 25. Of these newcomers, eight are former Eastern European countries with transition to Western-type market economies. These emerging markets provide increasingly growing investment opportunities and international diversification options for fund managers and individual investors. Well-known features of emerging equity markets are high returns, high volatility, and low correlation with developed markets. Bekaert and Harvey (2002) find that this correlation is on average increasing, particularly for those emerging markets that have liberalised their financial markets. Mateus (2004) finds similar results with EU access countries for recent years. Additional features of emerging markets are sparse data, low liquidity, and large price changes due to political changes or market crashes (e.g. Hwang & Pedersen, 2004).

Details

Emerging European Financial Markets: Independence and Integration Post-Enlargement
Type: Book
ISBN: 978-0-76231-264-1

Article
Publication date: 17 August 2012

Steve Moffatt, Wai‐Yin Wan and Don Weatherburn

The purpose of this paper is to determine whether trends in arrests for heroin, amphetamine‐type substances (ATS) and cocaine can be used as indicators of trends in the use of…

Abstract

Purpose

The purpose of this paper is to determine whether trends in arrests for heroin, amphetamine‐type substances (ATS) and cocaine can be used as indicators of trends in the use of these drugs.

Design/methodology/approach

The question was addressed using ARIMA models to analyse the relationship between arrests and emergency department (ED) admissions for narcotics, amphetamine type substances (ATS) and cocaine.

Findings

Strong positive correlations were found for the narcotics and cocaine series between arrests and EDs in the same month (contemporaneous correlation) and between arrests in the current month and overdoses in earlier months (lagged correlation). The contemporaneous correlation between ATS arrests and EDs was slightly less strong than the lagged correlations at two and four months. A jump in ATS EDs, was followed by a jump in arrests in the same month and then two and four months later.

Practical implications

Arrests for narcotics use/possession, ATS use/possession and cocaine use/possession may in some circumstances provide useful intelligence about drug trends and/or a basis for evaluating the impact of police drug law enforcement activity on the use of narcotics, ATS and cocaine when other stronger measures of drug use are not available.

Originality/value

Efforts to evaluate local drug law enforcement activity on illicit drug use have been hampered by poor measures of trends in illicit drug use at small area levels. This is the only study the authors are aware of that has examined the long‐term relationship between illicit drug arrests and emergency department admissions for illicit drug use.

Details

Policing: An International Journal of Police Strategies & Management, vol. 35 no. 3
Type: Research Article
ISSN: 1363-951X

Keywords

Article
Publication date: 1 December 2000

Chris Brooks, Sotiris Tsolacos and Stephen Lee

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick…

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Abstract

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long‐term trend to the raw data, and to derive the short‐term cycles of each series. It is found that the cycles of consumer expenditure, total consumption per capita, the dividend yield and the long‐term bond yield are moderately correlated, and mainly coincident, with the property price cycle. There is also evidence that the nominal and real Treasury Bill rates and the interest rate spread lead this cycle by one or two quarters, and therefore that these series can be considered leading indicators of property stock prices. This study recommends that macroeconomic and financial variables can provide useful information to explain and potentially to forecast movements of property‐backed stock returns in the UK.

Details

Journal of Property Investment & Finance, vol. 18 no. 6
Type: Research Article
ISSN: 1463-578X

Keywords

Article
Publication date: 17 May 2022

Xiaojie Xu and Yun Zhang

This study aims to investigate dynamic relationships among residential housing price indices of ten major Chinese cities for the years 2005–2021.

Abstract

Purpose

This study aims to investigate dynamic relationships among residential housing price indices of ten major Chinese cities for the years 2005–2021.

Design/methodology/approach

Using monthly data, this study uses vector error correction modeling and the directed acyclic graph for characterization of contemporaneous causality among the ten indices.

Findings

The PC algorithm identifies the causal pattern and the Linear Non-Gaussian Acyclic Model algorithm further determines the causal path, from which this study conducts innovation accounting analysis. Sophisticated price dynamics are found in price adjustment processes following price shocks, which are generally dominated by the top tiers of cities.

Originality/value

This study suggests that policies on residential housing prices in the long run might need to be planned with particular attention paid to these top tiers of cities.

Details

International Journal of Housing Markets and Analysis, vol. 16 no. 4
Type: Research Article
ISSN: 1753-8270

Keywords

Article
Publication date: 3 July 2007

Kim Hiang Liow

The paper seeks to examine cycles and common cycles in the real estate markets of the UK, Japan, Singapore, Hong Kong and Malaysia using a combination of time domain and frequency…

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Abstract

Purpose

The paper seeks to examine cycles and common cycles in the real estate markets of the UK, Japan, Singapore, Hong Kong and Malaysia using a combination of time domain and frequency domain methods.

Design/methodology/approach

The paper identifies the patterns of cyclical movement (if any) in the five public real estate markets, and searches for common cycle characteristics and patterns in international real estate markets. In addition to the time domain analyses, these empirical investigations are further empowered by a frequency domain method that includes spectral and co‐spectral analyses.

Findings

International real estate markets are characterized by cyclical behavior that exhibits phenomenal fluctuations. The markets are also pro‐cyclical; they do tend to move together. Furthermore, some differences in the patterns of the common cycles and their lead‐lag linkages are evident.

Research limitations/implications

International investors would probably benefit from diversifying real estate stocks across the UK and Asian real estate markets, especially in the short and medium terms. However, the long‐term cyclical patterns across the national real estate stock markets are not sharply different, indicating that smaller diversification benefits are to be expected in the long term.

Originality/value

Common cycle analysis advances investors' understanding of the long‐term relationship and medium‐ and short‐term linkages across international real estate markets, thereby allowing investors and portfolio managers an opportunity to discern any contrasting cyclical patterns at all frequencies so as to assist in their portfolio decisions.

Details

International Journal of Managerial Finance, vol. 3 no. 3
Type: Research Article
ISSN: 1743-9132

Keywords

Article
Publication date: 10 May 2011

Mihnea Constantinescu

The failure of the efficient market hypothesis has a direct bearing on the Geometric Brownian Motion model of asset returns. The current paper aims to investigate the effect that…

Abstract

Purpose

The failure of the efficient market hypothesis has a direct bearing on the Geometric Brownian Motion model of asset returns. The current paper aims to investigate the effect that the autocorrelation in the time‐series of returns has on the calculation of expected shortfall (ES) for an asset‐liability investor.

Design/methodology/approach

The regression model is selected according to the Akaike and the Schwarz information criterion. A series of tests are used to insure the stability of the autocorrelation parameters. Autocorrelation‐adjusted formulas for volatility and cross‐asset correlations are then employed for the computations.

Findings

The presence of autocorrelation changes the values of most of the correlation parameters used in the calculation of the ES of the risk bearing capital (RBC) – in some cases the cross‐asset correlation parameters double. Once the presence of smoothing is accounted for, the ES increases by 1 per cent in relative value.

Research limitations/implications

Other asset classes may also feature smoothed time‐series requiring thus an account of their autocorrelation structure and their interaction with the property asset. An analysis of the time stability of the cross‐asset correlations may also improve the estimation of the optimal RBC.

Originality/value

The proposed method focuses on the proper calculation of the RBC through the judicious estimation of the relevant risk measure for an investor who, while not having access to the underlying data pool from which the property index is computed, cannot adjust the index for the potential presence of temporal aggregation and market illiquidity.

Details

Journal of European Real Estate Research, vol. 4 no. 1
Type: Research Article
ISSN: 1753-9269

Keywords

Article
Publication date: 4 February 2014

Walid M.A. Ahmed

The main thrust of the present study is to look into the trading patterns of behavior and investment performance exhibited by individual and institutional investor categories in…

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Abstract

Purpose

The main thrust of the present study is to look into the trading patterns of behavior and investment performance exhibited by individual and institutional investor categories in the Qatar Exchange (QE). The paper aims to discuss these issues.

Design/methodology/approach

The present study uses daily aggregated investment flows made separately by each investor group, as well as daily closing price observations of the QE stock composite index. The trading patterns of investor categories are examined by estimating a bivariate vector autoregressive process of order p, VAR (p). To determine whether each category performs well or poorly over the entire sample period, each investor category's cumulative returns are estimated and analyzed.

Findings

The empirical results reveal that institutional investors pursue positive feedback trading strategies, whereas individual investors tend to be negative feedback traders. Both investor categories appear to be engaged in herding behavior. Additionally, institutional investors perform well over almost the entire sample period. In contrast, individual investors' negative market timing ability dominates their overall poor performance.

Practical implications

The investment performance gap found between institutional investors and individual investors in the Qatari capital market may reflect a large information asymmetry in favour of the former category. Indeed, the poor performance of individual investors implies that their trading activities are generally driven by factors and considerations that are irrelevant to fundamentals. Moreover, their irrational trading decisions may play some role in the formation of asset price bubbles.

Originality/value

The present study makes the first attempt to provide empirical evidence on the investment patterns and performance of individual and institutional investors trading on the Qatari capital market.

Details

Review of Accounting and Finance, vol. 13 no. 1
Type: Research Article
ISSN: 1475-7702

Keywords

Article
Publication date: 1 May 2019

Wenwen Xi, Dermot Hayes and Sergio Horacio Lence

The purpose of this paper is to study the variance risk premium in corn and soybean markets, where the variance risk premium is defined as the difference between the historical…

Abstract

Purpose

The purpose of this paper is to study the variance risk premium in corn and soybean markets, where the variance risk premium is defined as the difference between the historical realized variance and the corresponding risk-neutral expected variance.

Design/methodology/approach

The authors compute variance risk premiums using historical derivatives data. The authors use regression analysis and time series econometrics methods, including EGARCH and the Kalman filter, to analyze variance risk premiums.

Findings

There are moderate commonalities in variance within the agricultural sector, but fairly weak commonalities between the agricultural and the equity sectors. Corn and soybean variance risk premia in dollar terms are time-varying and correlated with the risk-neutral expected variance. In contrast, agricultural commodity variance risk premia in log return terms are more likely to be constant and less correlated with the log risk-neutral expected variance. Variance and price (return) risk premia in agricultural markets are weakly correlated, and the correlation depends on the sign of the returns in the underlying commodity.

Practical implications

Commodity variance (i.e. volatility) risk cannot be hedged using futures markets. The results have practical implications for US crop insurance programs because the implied volatilities from the relevant options markets are used to estimate the price volatility factors used to generate premia for revenue insurance products such as “Revenue Protection” and “Revenue Protection with Harvest Price Exclusion.” The variance risk premia found implies that revenue insurance premia are overpriced.

Originality/value

The empirical results suggest that the implied volatilities in corn and soybean futures market overestimate true expected volatility by approximately 15 percent. This has implications for derivative products, such as revenue insurance, that use these implied volatilities to calculate fair premia.

Details

Agricultural Finance Review, vol. 79 no. 3
Type: Research Article
ISSN: 0002-1466

Keywords

Article
Publication date: 18 December 2023

Xiaojie Xu and Yun Zhang

This study aims to investigate dynamic relations among office property price indices of 10 major cities in China for the years 2005–2021.

Abstract

Purpose

This study aims to investigate dynamic relations among office property price indices of 10 major cities in China for the years 2005–2021.

Design/methodology/approach

Using monthly data, the authors adopt vector error correction modeling and the directed acyclic graph for the characterization of contemporaneous causality among the 10 indices.

Findings

The PC algorithm identifies the causal pattern, and the linear non-Gaussian acyclic model algorithm further determines the causal path from which we perform innovation accounting analysis. Sophisticated price dynamics are found in price adjustment processes following price shocks, which are generally dominated by the top tier of cities.

Originality/value

This suggests that policies on office property prices, in the long run, might need to be planned with particular attention paid to the top tier of cities.

Article
Publication date: 30 September 2021

Daniela Olo, Leonida Correia and Maria da Conceição Rego

The purpose of this paper is to analyse whether there is an adjustment between the Portuguese higher education supply and the needs of the labour market.

Abstract

Purpose

The purpose of this paper is to analyse whether there is an adjustment between the Portuguese higher education supply and the needs of the labour market.

Design/methodology/approach

An empirical study is performed, using a quantitative approach, relating the job offers for graduates registered at the employment centres and the number of graduates by higher education institutions (HEIs) in Portugal, at an aggregate level and NUT II regions, by areas of education and training, over the 2003–2018 period. To understand how job offers and graduates are correlated, bilateral Spearman's rank correlation coefficients were calculated.

Findings

The results show that, in large groups of educational areas, exists a match between the higher education supply and the labour market needs, with an emphasis on the fields of “social sciences, business and law”, “engineering, manufacturing and construction” and “health and welfare”. However, at a more disaggregated level, a mismatch in the sub-areas of “teacher training and education science” and “computing” was found since labour market needs are much greater than graduates by HEIs and the two variables are moving in opposite directions.

Practical implications

The study has revealed important aspects that the educational policy should take into account in order to create the conditions for a gradual adjustment to the labour market needs. Also, the results demonstrate that some measures should be taken in short/medium term to avoid problems in the medium/long term.

Originality/value

One implication of this empirical study was the elaboration of a correspondence table to standardise the data analysis units from two different sources. As this correspondence did not exist prior to this study, this output is a relevant contribution to the research field. Another important contribution is the demonstration of a mismatch in some educational sub-areas that deserves special attention from educational policymakers.

Details

Higher Education, Skills and Work-Based Learning, vol. 12 no. 3
Type: Research Article
ISSN: 2042-3896

Keywords

1 – 10 of over 2000