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1 – 10 of 62Saeed Fathi and Zeinab Fazelian
The empirical studies of the options market efficiency have reported contradictory results, which sometimes confuse practitioners and academicians. The aim of this study was to…
Abstract
Purpose
The empirical studies of the options market efficiency have reported contradictory results, which sometimes confuse practitioners and academicians. The aim of this study was to clarify several aspects of options market efficiency by exploring the answers to two main questions: Under what conditions is the options market more efficient? Are the discrepancies in the estimated efficiency due to the reality of efficiency or mismeasurement?
Design/methodology/approach
Using a meta-analysis approach, 54 studies have been analyzed, which included 1,315 tests. The sum of the observations for all of the tests is 3.7 m observation sets. The effect size (type r) has been used to compare the different statistics in different studies. The cumulative effect size and its diversification have been calculated by the random effects model and Q statistic, respectively.
Findings
The most interesting finding of the study was that the options market, in all circumstances, is significantly inefficient. Another important finding was that the heterogeneity of options market efficiency is due to the complexity of pricing relations, test time, violation index and price type. To overcome this heterogeneity and accuracy, future studies should test the no-arbitrage options pricing relations at different times and by different price types, using complex and simple pricing relations and either mean violation or violation ratio efficiency measures.
Originality/value
Public disagreement about the options market efficiency in past studies means that this variable is heterogeneous in different conditions. As a significant contribution, this study develops the literature by proposing the causes of options market efficiency heterogeneity.
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Brajesh Mishra, Avanish Kumar and Ishaan Mishra
The study explores the evolution of Indian domestic electronics manufacturing post-economic reforms and also investigates the lack of natural growth stages among Indian…
Abstract
Purpose
The study explores the evolution of Indian domestic electronics manufacturing post-economic reforms and also investigates the lack of natural growth stages among Indian start-up/SME electronics manufactures.
Design/methodology/approach
The theoretical framework is inspired by Dawar and Frost's survival strategy theory that local companies may follow to overcome competitive threats from MNCs. The study adopts a qualitative methodology, more precisely, a phenomenological approach to walking through policy/regulatory reforms amid market distortions, technological gaps and colonial mindset from the perspective of Indian domestic electronics manufacturers. The study has adopted Gioia method of data analysis to inductively suggest a few research propositions.
Findings
The phenomenological approach revealed eight essential structure (essence) narratives to explore the complex issue that plague the industry: make in India, made in India, preferential market access strategy, equitable market access strategy, blue ocean strategy, competitive positioning strategy, technical capability and importance of policy/regulatory arbitrage.
Practical implications
The situation of Indian electronics manufacturing units is comparable to the bonsai tree situation, where natural evolution in business stages does not exist; they are born and die as start-ups/MSMEs. The study advocates for equitable market access by removing market distortions. The long-term solution may lie in making available locally manufactured products as a dependable alternative to the imported products or produced locally by MNC OEMs in terms of cost, quality, technology, volume, after-sale service and integrated supply chain.
Originality/value
While the favorable FDI policies, digital India and make-in India initiatives have strengthened domestic electronics production, it is yet to significantly impact India's position in global trade, including manufacturing and exports.
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Chengli Zheng, Jiayu Jin and Liyan Han
This paper originally proposed the fuzzy option pricing method for green bonds. Based on the requirements of arbitrage equilibrium, this paper draws on Merton's corporate bond…
Abstract
Purpose
This paper originally proposed the fuzzy option pricing method for green bonds. Based on the requirements of arbitrage equilibrium, this paper draws on Merton's corporate bond option pricing model.
Design/methodology/approach
Describing the asset value behavior of green bond issuing enterprises through diffusion-jump processes to reflect the uncertainty brought by carbon emission reduction policies and technologies, using approximation methods to get the analytical pricing formula and then, using a fuzzification technique of Choquet expectation under λ-additive fuzzy measures after considering fuzzy factors, the paper provides fuzzy intervals for the parity coupon rates of green bonds with different subjective levels for investors.
Findings
The paper proposes and argues the classical and fuzzy option pricing methods in turn for both corporate ordinary bonds and green bonds, considering carbon risk or climate risk. It implements the scenario analysis varying with industry emission standards and discusses the sensitiveness of the related key parameters of the option.
Practical implications
The fuzzy option pricing for the green bonds provides the scope of the variable equilibrium values, operational theoretical supports and some policy implications of carbon reduction and promoting green funding.
Originality/value
The logic of introducing the fuzziness of the option pricing for the green bonds lies with considering the existence of fuzzy information about the project supported by the green bond and the subjectivity of investors and it also responds to changes in technological uncertainty and policy uncertainty in the process of “carbon peaking and carbon neutrality.”
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Kavita Pandey, Surendra S. Yadav and Seema Sharma
The purpose of this paper is to validate the theoretical finding that digital MNEs avoid physical presence norms of permanent establishment and royalty characterization rules for…
Abstract
Purpose
The purpose of this paper is to validate the theoretical finding that digital MNEs avoid physical presence norms of permanent establishment and royalty characterization rules for business and royalty taxation, respectively, to escape tax incidence in the market economy, using information, communication and technology features and transfer pricing (TP) manipulations.
Design/methodology/approach
Multiple case studies of MNEs from technology sector, based on judicial decisions in 141 cases, over taxability of profits earned from Indian economic activities. Additional in-depth case study of the Uber Group to study the tax avoidance structures under platform economy, by routing of Indian profits through The Netherlands, a tax haven.
Findings
The study finds a significant number of digital MNEs earning profits from India and avoiding tax by defying physical presence and royalty characterization. In majority of the cases, demand-side business activities are discharged through incorporating and remunerating affiliates at cost plus low markup, thus avoiding tax incidence, using TP manipulations under the arm’s length principle applied by governments for benchmarking the intragroup transactions of the MNEs.
Research limitations/implications
The research findings validate the view that digital features promote tax avoidance in the market economy.
Originality/value
The originality of the study lies in the validation of profit shifting through digital features from the developing market economy and portending that digital MNEs defy physical presence to avoid business taxation through TP manipulations.
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Işıl Candemir and Cenk C. Karahan
This study aims to document the time varying risk premia for market, size, value and momentum factors for an emerging market using a sophisticated conditional asset pricing model…
Abstract
Purpose
This study aims to document the time varying risk premia for market, size, value and momentum factors for an emerging market using a sophisticated conditional asset pricing model. The focus of this study is Turkish stock market denominated in local currency with its peculiar risk premia.
Design/methodology/approach
The authors employ Gagliardini et al.'s (2016) econometric method that uses cross-sectional and time series information simultaneously to infer the path of risk premia from individual stocks.
Findings
Using this methodology, the authors assess several conditioning information and conclude that local dividend yield, inflation and exchange rates have the most explanatory power. The authors document the time varying risk premia in Turkey over three decades.
Originality/value
Existing studies on dynamic estimation of risk premia lack a consensus as to which state variables should be included and to what extent they impact the magnitude of the premium. The authors extend the conditioning information set beyond the ones existing in the literature to determine variables that are specifically important for an emerging market.
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Sharneet Singh Jagirdar and Pradeep Kumar Gupta
The present study reviews the literature on the history and evolution of investment strategies in the stock market for the period from 1900 to 2022. Conflicts and relationships…
Abstract
Purpose
The present study reviews the literature on the history and evolution of investment strategies in the stock market for the period from 1900 to 2022. Conflicts and relationships arising from such diverse seminal studies have been identified to address the research gaps.
Design/methodology/approach
The studies for this review were identified and screened from electronic databases to compile a comprehensive list of 200 relevant studies for inclusion in this review and summarized for the cognizance of researchers.
Findings
The study finds a coherence to complex theoretical documentation of more than a century of evolution on investment strategy in stock markets, capturing the characteristics of time with a chronological study of events.
Research limitations/implications
There were complications in locating unpublished studies leading to biases like publication bias, the reluctance of editors to publish studies, which do not reveal statistically significant differences, and English language bias.
Practical implications
Practitioners can refine investment strategies by incorporating behavioral finance insights and recognizing the influence of psychological biases. Strategies span value, growth, contrarian, or momentum indicators. Mitigating overconfidence bias supports effective risk management. Social media sentiment analysis facilitates real-time decision-making. Adapting to evolving market liquidity curbs volatility risks. Identifying biases guides investor education initiatives.
Originality/value
This paper is an original attempt to pictorially depict the seminal works in stock market investment strategies of more than a hundred years.
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Kai Zhang, Lingfei Chen and Xinmiao Zhou
Under the trend of global economic integration and the new context of stagflation, frequent fluctuations in international interest rates are exerting far-reaching impacts on the…
Abstract
Purpose
Under the trend of global economic integration and the new context of stagflation, frequent fluctuations in international interest rates are exerting far-reaching impacts on the world economy. In this paper, the transmission mechanism of the impact of fluctuations in international interest rates (specifically, the American interest rate) on the bankruptcy risk in China's pillar industry, the construction industry (which is also sensitive to interest rates), is examined.
Design/methodology/approach
Using an improved contingent claims analysis, the bankruptcy risk of enterprises is calculated in this paper. Additionally, an individual fixed-effects model is developed to investigate the mediating effects of international interest rates on the bankruptcy risk in the Chinese construction industry. The heterogeneity of subindustries in the industrial chain and the impact of China's energy consumption structure are also analysed in this paper.
Findings
The findings show that fluctuations in international interest rates, which affect the bankruptcy risk of China's construction industry, are mainly transmitted through two major pathways, namely, commodity price effects and exchange rate effects. In addition, the authors examine the important impact of China's energy consumption structure on risk transmission and assess the transmission and sharing of risks within the industrial chain.
Originality/value
First, in the research field, the study of international interest rate risk is extended to domestic-oriented industries. Second, in terms of the research content, this paper is focused on China-specific issues, including the significant influence of China's energy consumption structure characteristics and the risk contagion (and risk sharing) as determined by the current development of the Chinese construction industry. Third, in terms of research methods a modified contingent claim analysis approach to bankruptcy risk indicators is adopted for this study, thus overcoming the problems of data frequency, market sentiment and financial data fraud, which are issues that are ignored by most relevant studies.
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Sakiru Adebola Solarin, Muhammed Sehid Gorus and Veli Yilanci
This study seeks to investigate role of the coronavirus disease 2019 (COVID-19) pandemic on clean energy stocks for the United States for the period 21 January 2020–16 August 2021.
Abstract
Purpose
This study seeks to investigate role of the coronavirus disease 2019 (COVID-19) pandemic on clean energy stocks for the United States for the period 21 January 2020–16 August 2021.
Design/methodology/approach
At the empirical stage, the Fourier-augmented vector autoregression approach has been used.
Findings
According to the empirical results, the response of the clean energy stocks to the feverish sentiment, lockdown stringency, oil volatility, dirty assets, and monetary policy dies out within a short period of time. In addition, the authors find that there is a unidirectional causality from the feverish sentiment index and the lockdown stringency index to the clean energy stock returns; and from the monetary policy to the clean energy stocks. At the same time, there is a bidirectional causality between the lockdown stringency index and the feverish sentiment index. The empirical findings can be helpful to both practitioners and policy-makers.
Originality/value
Among the COVID-19 variables used in this study is a new feverish sentiment index, which has been constructed using principal component analysis. The importance of the feverish sentiment index is that it allows us to examine the impact of the aggregate level of fear in the economy on clean energy stocks.
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Nisha, Neha Puri, Namita Rajput and Harjit Singh
The purpose of this study is to analyse and compile the literature on various option pricing models (OPM) or methodologies. The report highlights the gaps in the existing…
Abstract
Purpose
The purpose of this study is to analyse and compile the literature on various option pricing models (OPM) or methodologies. The report highlights the gaps in the existing literature review and builds recommendations for potential scholars interested in the subject area.
Design/methodology/approach
In this study, the researchers used a systematic literature review procedure to collect data from Scopus. Bibliometric and structured network analyses were used to examine the bibliometric properties of 864 research documents.
Findings
As per the findings of the study, publication in the field has been increasing at a rate of 6% on average. This study also includes a list of the most influential and productive researchers, frequently used keywords and primary publications in this subject area. In particular, Thematic map and Sankey’s diagram for conceptual structure and for intellectual structure co-citation analysis and bibliographic coupling were used.
Research limitations/implications
Based on the conclusion presented in this paper, there are several potential implications for research, practice and society.
Practical implications
This study provides useful insights for future research in the area of OPM in financial derivatives. Researchers can focus on impactful authors, significant work and productive countries and identify potential collaborators. The study also highlights the commonly used OPMs and emerging themes like machine learning and deep neural network models, which can inform practitioners about new developments in the field and guide the development of new models to address existing limitations.
Social implications
The accurate pricing of financial derivatives has significant implications for society, as it can impact the stability of financial markets and the wider economy. The findings of this study, which identify the most commonly used OPMs and emerging themes, can help improve the accuracy of pricing and risk management in the financial derivatives sector, which can ultimately benefit society as a whole.
Originality/value
It is possibly the initial effort to consolidate the literature on calibration on option price by evaluating and analysing alternative OPM applied by researchers to guide future research in the right direction.
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Kirti Sood, Prachi Pathak and Sanjay Gupta
Investment decisions hold immense significance for investors and eventually affect their portfolio performance. Investors are advised to weigh the costs and benefits associated…
Abstract
Purpose
Investment decisions hold immense significance for investors and eventually affect their portfolio performance. Investors are advised to weigh the costs and benefits associated with every decision in order to make rational investment decisions. However, behavioral finance research reveals that investors' choices often stem from a blend of economic, psychological and sociological factors, leading to irrationality. Moreover, environmental, social and corporate governance (ESG) factors, aligned with behavioral finance hypotheses, also sway opinions and stock prices. Hence, this study aims to identify how individual equity investors prioritize key determinants of investment decisions in the Indian stock market.
Design/methodology/approach
The current research gathered data from 391 individual equity investors through a structured questionnaire. Thereafter, a fuzzy analytic hierarchy process (F-AHP) was used to meet the purpose of the research.
Findings
Information availability, representative heuristics belonging to psychological factors and macroeconomic indicators falling under economic factors were discovered to be the three most prioritized criteria, whereas environmental issues within the realm of ESG factors, recommendations of brokers or investment consultants of sociological factors, and social issues belonging to ESG factors were found to be the least prioritized criteria, respectively.
Research limitations/implications
Only active and experienced individual equity investors were surveyed in this study. Furthermore, with a sample size of 391 participants, the study was confined to individual equity investors in one nation, India.
Practical implications
This research has implications for individual investors, institutional investors, market regulators, corporations, financial advisors, portfolio managers, policymakers and society as a whole.
Originality/value
To the best of the authors' knowledge, no real attempt has been made to comprehend how active and experienced individual investors prioritize critical determinants of investment decisions by taking economic, psychological, sociological and ESG factors collectively under consideration.
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