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1 – 10 of over 1000
Article
Publication date: 18 February 2022

Fotini Economou, Konstantinos Gavriilidis, Bartosz Gebka and Vasileios Kallinterakis

The purpose of this paper is to comprehensively review a large and heterogeneous body of academic literature on investors' feedback trading, one of the most popular trading…

Abstract

Purpose

The purpose of this paper is to comprehensively review a large and heterogeneous body of academic literature on investors' feedback trading, one of the most popular trading patterns observed historically in financial markets. Specifically, the authors aim to synthesize the diverse theoretical approaches to feedback trading in order to provide a detailed discussion of its various determinants, and to systematically review the empirical literature across various asset classes to gauge whether their feedback trading entails discernible patterns and the determinants that motivate them.

Design/methodology/approach

Given the high degree of heterogeneity of both theoretical and empirical approaches, the authors adopt a semi-systematic type of approach to review the feedback trading literature, inspired by the RAMESES protocol for meta-narrative reviews. The final sample consists of 243 papers covering diverse asset classes, investor types and geographies.

Findings

The authors find feedback trading to be very widely observed over time and across markets internationally. Institutional investors engage in feedback trading in a herd-like manner, and most noticeably in small domestic stocks and emerging markets. Regulatory changes and financial crises affect the intensity of their feedback trades. Retail investors are mostly contrarian and underperform their institutional counterparts, while the latter's trades can be often motivated by market sentiment.

Originality/value

The authors provide a detailed overview of various possible theoretical determinants, both behavioural and non-behavioural, of feedback trading, as well as a comprehensive overview and synthesis of the empirical literature. The authors also propose a series of possible directions for future research.

Details

Review of Behavioral Finance, vol. 15 no. 4
Type: Research Article
ISSN: 1940-5979

Keywords

Article
Publication date: 8 August 2023

Shailesh Rastogi and Jagjeevan Kanoujiya

The nexus of commodity prices with inflation is one of the main concerns for a nation's economy like India. The literature does not have enough volatility-based study, especially…

Abstract

Purpose

The nexus of commodity prices with inflation is one of the main concerns for a nation's economy like India. The literature does not have enough volatility-based study, especially using the multivariate GRACH family of models to find a link between these two. It is the main reason for the conduct of this study. This paper aims to estimate the volatility effects of commodity prices on inflation.

Design/methodology/approach

For ten years (2011–2022), future prices of selected seven agriculture commodities and inflation indices (wholesale price index [WPI] and consumer price index [CPI]) are gathered every month. BEKK GARCH model (BGM) and DCC GARCH model (DGM) are employed to determine the volatility effect of commodity prices (CPs) on inflation.

Findings

The authors find that volatility's short-term (shock) impact on agricultural CPs to inflation does not exist. However, the long-term volatility spillover effect (VSE) is significant from commodities to inflation.

Practical implications

The study's findings have a significant implication for the policymakers to take a long-term view on inflation management regarding commodity prices. The findings can facilitate policy on the choice of commodities and the flexibility of their trading on the commodities derivatives market.

Originality/value

The findings of the study are unique. The authors do not observe any study on the volatility effect of agri-commodities (agricultural commodities) prices on inflation in India. This paper applies advanced techniques to provide novel and reliable evidence. Hence, this research is believed to contribute significantly to the knowledge body through its novel evidence and advanced approach.

Details

Journal of Economic and Administrative Sciences, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1026-4116

Keywords

Open Access
Article
Publication date: 12 April 2023

Michael O'Neill and Gulasekaran Rajaguru

The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX…

Abstract

Purpose

The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX Futures index benchmark.

Design/methodology/approach

Long-run causal relations between daily price movements in ETPs and futures are established, and the impact of rebalancing activity of leveraged and inverse ETPs evidenced through causal relations in the last 30 min of daily trading.

Findings

High frequency lead lag relations are observed, demonstrating opportunities for arbitrage, although these tend to be short-lived and only material in times of market dislocation.

Originality/value

The causal relations between VXX and VIX Futures are well established with leads and lags generally found to be short-lived and arbitrage relations holding. The authors go further to capture 1x long, −1x inverse as well as 2x leveraged ETNs and the corresponding ETFs, to give a broad representation across the ETP market. The authors establish causal relations between inverse and leveraged products where causal relations are not yet documented.

Details

Journal of Accounting Literature, vol. 46 no. 2
Type: Research Article
ISSN: 0737-4607

Keywords

Article
Publication date: 7 July 2023

Hardeep Singh Mundi and Shailja Vashisht

This paper aims to review, systematize and integrate existing research on disposition effect and investments. This study conducts bibliometric analysis, including performance…

Abstract

Purpose

This paper aims to review, systematize and integrate existing research on disposition effect and investments. This study conducts bibliometric analysis, including performance analysis and science mapping and thematic analysis of studies on disposition effect.

Design/methodology/approach

This study adopted a thematic and bibliometric analysis of the papers related to the disposition effect. A total of 231 papers published from 1971 to 2021 were retrieved from the Scopus database for the study, and bibliometric analysis and thematic analysis were performed.

Findings

This study’s findings demonstrate that research on the disposition effect is interdisciplinary and influences the research in the domain of both corporate and behavioral finance. This review indicates limited research on cross-country data. This study indicates a strong presence of work on investor psychology and behavioral finance when it comes to the disposition effect. The findings of thematic analysis further highlight that most of the research has focused on prospect theory, trading strategies and a few cognitive and emotional biases.

Practical implications

The findings of this study can be used by investors to minimize their biases and losses. The study also highlights new techniques in machine learning and neurosciences, which can help investment firms better understand their clients’ behavior. Policymakers can use the study’s findings to nudge investors’ behavior, focusing on minimizing the effects of the disposition effect.

Originality/value

This study has performed the quantitative bibliometric and thematic analysis of existing studies on the disposition effect and identified areas of future research on the phenomenon of disposition effect in investments.

Details

Qualitative Research in Financial Markets, vol. 16 no. 2
Type: Research Article
ISSN: 1755-4179

Keywords

Book part
Publication date: 20 November 2023

Alfredo Saad-Filho

This chapter offers a Marxist analysis of forms of value in capitalist economies, and their implications for accumulation, (in)stability, and economic policy. The study focuses on…

Abstract

This chapter offers a Marxist analysis of forms of value in capitalist economies, and their implications for accumulation, (in)stability, and economic policy. The study focuses on seven key categories: money, capital, credit, interest-bearing capital, fictitious capital, the domestic public debt, and macroeconomic management through monetary and fiscal policy. It argues, first, that there is an intrinsic tendency toward the growing complexity of value forms in capitalism. Its examination helps to locate the contradictions of accumulation at increasingly complex levels, and the emergence of specifically financial forms of instability. Second, state management of accumulation through fiscal and monetary policy and the domestic public debt are essential for the stabilization of the economy, but their effectiveness remains limited. Third, monetary and financial structures, their relationship with production, and capacity to stretch, transform, and (de)stabilize accumulation are historically and institutionally specific. Fourth, public policy can influence the level and composition of output and employment, and the distributional and other outcomes of accumulation. Examination of the capital relation from this angle can shed light upon the drivers and modalities of accumulation of real and financial assets, and the imperatives, forms, and limitations of state regulation of accumulation.

Details

Value, Money, Profit, and Capital Today
Type: Book
ISBN: 978-1-80455-751-8

Keywords

Article
Publication date: 28 December 2023

Yadong Dou, Xiaolong Zhang and Ling Chen

The coal-fired power plants have been confronted with new operation challenge since the unified carbon trading market was launched in China. To make the optimal decision for the…

Abstract

Purpose

The coal-fired power plants have been confronted with new operation challenge since the unified carbon trading market was launched in China. To make the optimal decision for the carbon emissions and power production has already been an important subject for the plants. Most of the previous studies only considered the market prices of electricity and coal to optimize the generation plan. However, with the opening of the carbon trading market, carbon emission has become a restrictive factor for power generation. By introducing the carbon-reduction target in the production decision, this study aims to achieve both the environmental and economic benefits for the coal-fired power plants to positively deal with the operational pressure.

Design/methodology/approach

A dynamic optimization approach with both long- and short-term decisions was proposed in this study to control the carbon emissions and power production. First, the operation rules of carbon, electricity and coal markets are analyzed, and a two-step decision-making algorithm for annual and weekly production is presented. Second, a production profit model based on engineering constraints is established, and a greedy heuristics algorithm is applied in the Gurobi solver to obtain the amounts of weekly carbon emission, power generation and coal purchasing. Finally, an example analysis is carried out with five generators of a coal-fired power plant for illustration.

Findings

The results show that the joint information of the multiple markets of carbon, electricity and coal determines the real profitability of power production, which can assist the plants to optimize their production and increase the profits. The case analyses demonstrate that the carbon emission is reduced by 2.89% according to the authors’ method, while the annual profit is improved by 1.55%.

Practical implications

As an important power producer and high carbon emitter, coal-fired power plants should actively participate in the carbon market. Rather than trade blindly at the end of the agreement period, they should deeply associate the prices of carbon, electricity and coal together and realize optimal management of carbon emission and production decision efficiently.

Originality/value

This paper offers an effective method for the coal-fired power plant, which is struggling to survive, to manage its carbon emission and power production optimally.

Details

International Journal of Energy Sector Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1750-6220

Keywords

Article
Publication date: 6 October 2023

Thomas Kim and Li Sun

Using a sample of oil and gas firms in the USA, the study examines the relation between the presence of hedging and annual report readability.

Abstract

Purpose

Using a sample of oil and gas firms in the USA, the study examines the relation between the presence of hedging and annual report readability.

Design/methodology/approach

The authors use regression analysis to examine the relation between the presence of hedging and annual report readability.

Findings

The authors find that annual reports of firms with the use of hedging are less readable (i.e. difficult to read and understand). The authors also find that the primary results are more pronounced for firms with a higher level of business volatility.

Originality/value

The study contributes to the finance literature on the use and value of hedging and to the accounting literature on the determinants of annual report readability. The Securities and Exchange Commission (SEC) has persistently asked companies to improve the readability of their disclosures to stakeholders (SEC, 1998; 2013, 2014). Hence, the study not only identifies a potential determinant (i.e. hedging) that may influence the level of readability but also supports the current regulatory policy by the SEC, which is encouraging companies to improve readability.

Details

Asian Review of Accounting, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1321-7348

Keywords

Article
Publication date: 10 February 2023

Roslina Mohamad Shafi and Yan-Ling Tan

This study aims to explore the evolution of the Islamic capital market (ICM) from the perspective of research publications.

Abstract

Purpose

This study aims to explore the evolution of the Islamic capital market (ICM) from the perspective of research publications.

Design/methodology/approach

A bibliometric analysis was applied based on selected publications from the Web of Science Core Collection (WoSCC) database from 2000 to 2021. The study adopted VOSviewer software which was developed by Leiden University.

Findings

This study has some implications that need urgent action. Firstly, there are some areas that have received little attention among researchers, although they are relevant to the industry, for instance, in fintech and blockchain in ICM. Secondly, the inconsistent frequency of publications in some niche areas may suggest that there are unprecedented events that hinder further research; probably, the researcher may anticipate more information and progress in the industry. Thirdly, the need to strengthen the collaboration between industry and academia to advance research.

Research limitations/implications

This study considered only the WoSCC database. The provider of WoSCC is Clarivate (formerly known as Thomson Reuters), where access to publications is limited to institutional subscribers. The implications of this study are to identify and propose future research trends in the field of ICM.

Originality/value

To the best of the authors’ knowledge, the present study is among the pioneer studies in analysing bibliometric focusing on ICM. Previous research has focused on Islamic finance and banking, and not specifically on ICM. Accordingly, this study sheds light on research gaps in ICM.

Details

Journal of Islamic Accounting and Business Research, vol. 14 no. 8
Type: Research Article
ISSN: 1759-0817

Keywords

Article
Publication date: 14 March 2022

Ming Tsang and Adam Stivers

This study aims to examine individuals' tendency to strictly follow their own signal while ignoring predecessors' decisions when making decisions under varying degrees of…

Abstract

Purpose

This study aims to examine individuals' tendency to strictly follow their own signal while ignoring predecessors' decisions when making decisions under varying degrees of uncertainty.

Design/methodology/approach

Using a controlled laboratory experiment, the authors separate the follow-own-signal behavior from other types of behavior such as Bayes consistent or herd-like (i.e. follow-the-majority) behavior.

Findings

As the authors systemically increase the degree of uncertainty in the information environment, participants are increasingly more likely to act only on their own signal. This suggests that financial decisions that are made under highly uncertain market conditions may be more signal revealing, and hence, may lead to better information aggregation than previously thought. The authors also find that as uncertainty increases, participants are more likely to switch in and out of this behavior, suggesting that behavior under highly uncertain conditions may also be more random and complex.

Originality/value

The authors are the first to examine how uncertainty affects the follow-own-signal behavior. The authors also offer potential testable empirical implications, such as an increase in contrarian investing, home bias, and own-company ownership under times of increased uncertainty or in more uncertain markets.

Details

Review of Behavioral Finance, vol. 15 no. 5
Type: Research Article
ISSN: 1940-5979

Keywords

Article
Publication date: 29 November 2022

Ali Yavuz Polat

This study proposes a framework based on salience theory and shows that focusing on one type of risk (idiosyncratic or systemic) can explain overpricing of securities ex ante, and…

Abstract

Purpose

This study proposes a framework based on salience theory and shows that focusing on one type of risk (idiosyncratic or systemic) can explain overpricing of securities ex ante, and resales at low prices during crisis periods.

Design/methodology/approach

The author consider an overlapping generations (OLG) model where each generation lives for two periods and there is no population growth. Agents (investors) start their lives with an endowment W > 0 and have mean-variance utility. They invest their endowment when young and consume when old. Each period, the young investors optimally choose their portfolio from different risky assets acquired from the old generation, all assumed to be in fixed supply.

Findings

The author show that investor salience bias can explain excess volatility of asset prices and the resulting fire-sales in periods of financial turmoil. A change in salience – from one component (idiosyncratic) to the other (systemic) – will generate excess volatility. Interestingly, higher risk aversion generally exacerbates the excess volatility of prices. Moreover, the model predicts that if a big systemic shock hits the financial system, due to salience bias the price of systemic assets falls sharply. This relates to the observed fire-sales of assets during the global financial crisis.

Practical implications

The proposed model and results suggest that there may be a scope for intervention in financial markets during turbulences. In terms of ex ante policies the study suggests that investors and regulator should use better risk assessment technologies.

Originality/value

This is the first study constructing a tractable model based on the argument that investor salience may exacerbate the excess volatility of prices during financial downturns. The author relate salience to two types of risk; idiosyncratic and systemic and assume that investors' risk perception is biased towards the type of risk that is currently salient based on prior beliefs or past data. The author show that the diversification fallacy of the precrisis period, where seemingly safe assets were overpriced, can be explained by agents overweighing idiosyncratic risk and ignoring systemic risk.

Details

Journal of Economic Studies, vol. 50 no. 7
Type: Research Article
ISSN: 0144-3585

Keywords

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