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Book part
Publication date: 11 September 2020

D. K. Malhotra, Kunal Malhotra and Rashmi Malhotra

Traditionally, loan officers use different credit scoring models to complement judgmental methods to classify consumer loan applications. This study explores the use of decision…

Abstract

Traditionally, loan officers use different credit scoring models to complement judgmental methods to classify consumer loan applications. This study explores the use of decision trees, AdaBoost, and support vector machines (SVMs) to identify potential bad loans. Our results show that AdaBoost does provide an improvement over simple decision trees as well as SVM models in predicting good credit clients and bad credit clients. To cross-validate our results, we use k-fold classification methodology.

Book part
Publication date: 13 July 2011

Naresh K. Malhotra

It is a great honor to be selected as a marketing legend, and 117 of my refereed journal articles are published in nine volumes by Sage India as part of the Legend series. In this…

Abstract

It is a great honor to be selected as a marketing legend, and 117 of my refereed journal articles are published in nine volumes by Sage India as part of the Legend series. In this chapter, I discuss my preparation for an academic career and the trajectory my research has followed. I reflect on my research contributions to marketing by selectively summarizing the key contributions in each of the nine volumes and draw out some lessons and principles I have learned in the process.

Details

Review of Marketing Research: Special Issue – Marketing Legends
Type: Book
ISBN: 978-0-85724-897-8

Book part
Publication date: 25 March 2010

Hon-Lun Chung, Wai-Sum Chan and Jonathan A. Batten

The dynamics between five-year US Treasury bonds and interest rate swaps are examined using bivariate threshold autoregressive (BTAR) models to determine the drivers of spread…

Abstract

The dynamics between five-year US Treasury bonds and interest rate swaps are examined using bivariate threshold autoregressive (BTAR) models to determine the drivers of spread changes and the nature of the lead–lag relation between the two instruments. This model is able to identify the economic – or threshold – value that market participants consider significant before realigning their portfolios. Specifically, three different regimes are identified: when the swap spread in the previous week is either high or low, the Treasury bond market leads the swap market. However, when the swap spread is low, none of the markets leads each other. Thus, yield movements are shown to be governed by the direction and magnitude of the change in the swap spread, which in turn provides an economic insight into the rebalancing between swap and bond portfolios.

Details

Research in Finance
Type: Book
ISBN: 978-1-84950-726-4

Book part
Publication date: 8 August 2022

D. K. Malhotra, Rashmi Malhotra and Robert L. Nydick

Mutual fund ratings are extremely popular among mutual fund investors, with over 8,000 mutual funds currently available to them and a huge increase in privately managed retirement…

Abstract

Mutual fund ratings are extremely popular among mutual fund investors, with over 8,000 mutual funds currently available to them and a huge increase in privately managed retirement accounts. Morningstar introduced the star-rating system to mutual funds, grading them on a range of one to five stars, with one star being the lowest and five stars being the highest. Because of its simplicity and resemblance to the ratings of so many other products we buy, the star-rating system has become an intrinsic element of mutual fund jargon. Morningstar experts award 5-star funds a gold, silver, or bronze medal ranking based on their instinctual analysis. This research investigates whether all gold-medal winning five-star mutual funds are equally efficient in terms of risk-adjusted performance. When total return, adjusted expense ratio, standard deviation, tax cost ratio, Sharpe ratio, and fund alpha are all considered, we discovered that not all “gold medal” mutual funds are equally efficient. Investors should take care even among “gold medal” funds since some are more efficient than others.

Details

Applications of Management Science
Type: Book
ISBN: 978-1-80071-552-3

Keywords

Content available
Book part
Publication date: 11 September 2020

Abstract

Details

Applications of Management Science
Type: Book
ISBN: 978-1-83867-001-6

Book part
Publication date: 2 September 2020

Sezer Bozkuş Kahyaoğlu and Hilmi Tunahan Akkuş

Introduction – The rapid flow of information between the markets eliminates the possibility of diversifying the portfolio by bringing the markets closer, and may cause the…

Abstract

Introduction – The rapid flow of information between the markets eliminates the possibility of diversifying the portfolio by bringing the markets closer, and may cause the volatility in a market to spread to another market. In this context, revealing the relationships between conventional and participation markets or financial assets is important in terms of portfolio diversification and risk management.

Purpose – The major aim of this work is to analyse the existence of volatility spillover between conventional stock index and participation index based on the indexes in Turkish Capital Markets. BIST-30 and Katılım-30 indexes are used as the representatives of conventional stock index and participation index, respectively.

Methodology – Firstly, the univariate HYGARCH (1,d,1) parameters are calculated, and secondly, the dynamic equicorrelation (DECO) methodology is applied. DECO model is proposed to simplify structural assumptions by introducing a structure in which all twosomes of returns take the same correlation for a given time period. In this way, DECO model enables to have an optimal portfolio selection in comparison to an unrestricted time varying-dynamic correlation approaches and gives more advanced forecasting ability for the duration of the financial crisis periods compared to the various portfolios.

Findings – There is a strong correlation between BIST-30 and Katılım-30. They are affected by the same shocks. We expect to see different investor behaviours for Katılım-30 and BIST-30. However, they seem to have almost the same investor profile. In addition, there is a causality in both ways and volatility spillover between them.

Abstract

Details

Managing Urban Mobility Systems
Type: Book
ISBN: 978-0-85-724611-0

Article
Publication date: 1 September 2006

Anusua Datta, D.K. Malhotra and Philip S. Russel

The U.S. textile industry has gone through much upheaval in the past two decades. As protective barriers are gradually phased out the industry is faced with stiff foreign…

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Abstract

The U.S. textile industry has gone through much upheaval in the past two decades. As protective barriers are gradually phased out the industry is faced with stiff foreign competition. Regional trade pacts, such as NAFTA and CBI, on the other hand help to improve the competitiveness of the domestic textile industry. This paper looks at the trends in U.S. textile trade with the various trading zones and the various factors influencing textile imports and exports. We examine the impact of the new global environment, the regional trade pacts, NAFTA and CBI on the changing nature and pattern of trade. The overall trends indicate a significant decline in imports from the EU countries, Asia remains significant, but NAFTA and CBI countries are quickly gaining ground over the old trading partners. The OECD remains the most significant destination for U.S. textile exports followed by NAFTA and Latin American countries.

Details

Competitiveness Review: An International Business Journal, vol. 16 no. 3/4
Type: Research Article
ISSN: 1059-5422

Keywords

Article
Publication date: 4 September 2009

Rashmi Malhotra and D.K. Malhotra

The purpose of this paper is to measure the effectiveness of the integration of Europe by benchmarking economic progress made by the participating nations.

2040

Abstract

Purpose

The purpose of this paper is to measure the effectiveness of the integration of Europe by benchmarking economic progress made by the participating nations.

Design/methodology/approach

Using data envelopment analysis, this paper compares the relative performance of 26 European Union (EU) nations against one another with seven economic variables as the benchmark parameters from 1999 to 2006.

Findings

The paper finds that not all the participating nations were equally efficient at the beginning of the economic integration in 1999. Economic integration does help in achieving convergence in economic performance of 26 EU nations, because 18 of the 26 nations were efficient in 2002. However, this paper finds that after 2002, there is a lack of convergence in the performance of 26 EU nations and some nations have performed more efficiently in contrast to other nations.

Originality/value

The paper identifies the member nations that are lagging behind and make recommendations as to how they can improve their performance to bring them at par with other participating nations.

Details

International Journal of Commerce and Management, vol. 19 no. 3
Type: Research Article
ISSN: 1056-9219

Keywords

Article
Publication date: 29 June 2012

Vivek Bhargava, D.K. Malhotra, Philip Russel and Rahul Singh

The purpose of this paper is to examine if the volatility in the US dollar interest rate swap market impacts the volatility of the swap rates in the Indian swap market.

Abstract

Purpose

The purpose of this paper is to examine if the volatility in the US dollar interest rate swap market impacts the volatility of the swap rates in the Indian swap market.

Design/methodology/approach

The authors use GARCH, EGARCH, and TGARCH modeling to examine volatility spillover between the US and Indian interest rate swap markets.

Findings

Evidence is found of volatility transmission from the US dollar interest rate swap markets to the Indian swap markets. There is no evidence of spillover from the Indian swap markets to the US swap markets. Furthermore, the spillover impact from the US markets to the Indian markets is also asymmetric. The impact on volatility is asymmetric for one‐year swaps, but not for five‐year swaps.

Practical implications

Findings from this study will also identify any arbitrage opportunities that may exist between different segments of the US dollar interest rate swap markets and help to improve interest rate swap market efficiency.

Originality/value

If the financial market liberalization process in these nations has been successful in integrating their market into the pool of the world market, then a foreign investor would not demand a risk‐premium in the returns on deposits in these markets. The findings of this paper are also relevant for other emerging markets' policy makers, as they try to become more integrated in the global economy and try to resolve market inefficiencies and country risk so that obstacles to foreign investments can be removed.

Details

International Journal of Emerging Markets, vol. 7 no. 3
Type: Research Article
ISSN: 1746-8809

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