Search results
1 – 10 of 75Michael 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
Keywords
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
Keywords
Kwang-Jing Yii, Zi-Han Soh, Lin-Hui Chia, Khoo Shiang-Lin Jaslyn, Lok-Yew Chong and Zi-Chong Fu
In the stock market, herding behavior occurs when investors mimic the actions of others in their investment decisions. As a result, the market becomes inefficient and speculative…
Abstract
In the stock market, herding behavior occurs when investors mimic the actions of others in their investment decisions. As a result, the market becomes inefficient and speculative bubbles form. This study aims to investigate the relationship between information, overconfidence, market sentiment, experience and national culture, and herding behavior among Malaysian investors. A total of 400 questionnaires are distributed to bank institutions' investors. The survey design based on cross-sectional data is analyzed using the Partial Least Squares Structural Equation Model. The results indicate that information, market sentiment, experience, and national culture are positively related to herding behavior, while overconfidence has no effect. With this, the government should strengthen regulations to prevent the dissemination of misleading information. Moreover, investors are encouraged to overcome narrow thinking by expanding their understanding of different cultures when making investment decisions.
Details
Keywords
Asad Khan, Zia ur Rehman, Muhammad Ibrahim Khan and Imtiaz Badshah
This study aims to verify the significance of Andersen (2008) corporate risk management (CRM) framework in Asian emerging markets (AEMs) to control firm risk and improve firm…
Abstract
Purpose
This study aims to verify the significance of Andersen (2008) corporate risk management (CRM) framework in Asian emerging markets (AEMs) to control firm risk and improve firm performance.
Design/methodology/approach
The cross-sectional analyses are performed on a sample of 4,609 firms across nine Asian emerging countries using 2SLS estimation technique.
Findings
The empirical findings show that the adoption of CRM not only enhances firm performance by increasing the firm ability to capitalize on the market opportunity but also plays a significant role in reducing firm risk. The findings of this study assert that by institutionalizing risk management practices into an integrated CRM framework, the firm can reap multiple benefits by maintaining better contractual agreements and strategic partnerships with key stakeholders.
Originality/value
The study shifts the focus of CRM away from Western countries toward AEMs, which has been afflicted by high risks and uncertainties. The effectiveness of CRM against firm risk is established by dividing firm risk into firm-specific risk and systematic risk. Furthermore, this study also establishes that CRM not only leads to high returns but also reduces firm operational and production costs. Overall, the study provides a compelling argument to implement CRM for improving organizational performance and managing risks in a strategic and integrated manner. The findings are also relevant to risk management practitioners, as well as to academicians interested in the broader fields of corporate finance and strategy.
Details
Keywords
Mohammed Ayoub Ledhem and Warda Moussaoui
This paper aims to apply several data mining techniques for predicting the daily precision improvement of Jakarta Islamic Index (JKII) prices based on big data of symmetric…
Abstract
Purpose
This paper aims to apply several data mining techniques for predicting the daily precision improvement of Jakarta Islamic Index (JKII) prices based on big data of symmetric volatility in Indonesia’s Islamic stock market.
Design/methodology/approach
This research uses big data mining techniques to predict daily precision improvement of JKII prices by applying the AdaBoost, K-nearest neighbor, random forest and artificial neural networks. This research uses big data with symmetric volatility as inputs in the predicting model, whereas the closing prices of JKII were used as the target outputs of daily precision improvement. For choosing the optimal prediction performance according to the criteria of the lowest prediction errors, this research uses four metrics of mean absolute error, mean squared error, root mean squared error and R-squared.
Findings
The experimental results determine that the optimal technique for predicting the daily precision improvement of the JKII prices in Indonesia’s Islamic stock market is the AdaBoost technique, which generates the optimal predicting performance with the lowest prediction errors, and provides the optimum knowledge from the big data of symmetric volatility in Indonesia’s Islamic stock market. In addition, the random forest technique is also considered another robust technique in predicting the daily precision improvement of the JKII prices as it delivers closer values to the optimal performance of the AdaBoost technique.
Practical implications
This research is filling the literature gap of the absence of using big data mining techniques in the prediction process of Islamic stock markets by delivering new operational techniques for predicting the daily stock precision improvement. Also, it helps investors to manage the optimal portfolios and to decrease the risk of trading in global Islamic stock markets based on using big data mining of symmetric volatility.
Originality/value
This research is a pioneer in using big data mining of symmetric volatility in the prediction of an Islamic stock market index.
Details
Keywords
The study aims to identify the possible risk factors for electricity grids operational disruptions and to determine the most critical and influential risk indicators.
Abstract
Purpose
The study aims to identify the possible risk factors for electricity grids operational disruptions and to determine the most critical and influential risk indicators.
Design/methodology/approach
A multi-criteria decision-making best-worst method (BWM) is employed to quantitatively identify the most critical risk factors. The grey causal modeling (GCM) technique is employed to identify the causal and consequence factors and to effectively quantify them. The data used in this study consisted of two types – quantitative periodical data of critical factors taken from their respective government departments (e.g. Indian Meteorological Department, The Central Water Commission etc.) and the expert responses collected from professionals working in the Indian electric power sector.
Findings
The results of analysis for a case application in the Indian context shows that temperature dominates as the critical risk factor for electrical power grids, followed by humidity and crop production.
Research limitations/implications
The study helps to understand the contribution of factors in electricity grids operational disruptions. Considering the cause consequences from the GCM causal analysis, rainfall, temperature and dam water levels are identified as the causal factors, while the crop production, stock prices, commodity prices are classified as the consequence factors. In practice, these causal factors can be controlled to reduce the overall effects.
Practical implications
From the results of the analysis, managers can use these outputs and compare the risk factors in electrical power grids for prioritization and subsequent considerations. It can assist the managers in efficient allocation of funds and manpower for building safeguards and creating risk management protocols based on the severity of the critical factor.
Originality/value
The research comprehensively analyses the risk factors of electrical power grids in India. Moreover, the study apprehends the cause-consequence pair of factors, which are having the maximum effect. Previous studies have been focused on identification of risk factors and preliminary analysis of their criticality using autoregression. This research paper takes it forward by using decision-making methods and causal analysis of the risk factors with blend of quantitative and expert response based data analysis to focus on the determination of the criticality of the risk factors for the Indian electric power grid.
Details
Keywords
Xiaoxi Zhu, Juan Liu, Meifei Gu and Changhui Yang
To examine how shareholding affects optimal profits, R&D innovation, NEV market scale and social welfare in two supply chain models with partial and cross ownership patterns.
Abstract
Purpose
To examine how shareholding affects optimal profits, R&D innovation, NEV market scale and social welfare in two supply chain models with partial and cross ownership patterns.
Design/methodology/approach
The gradual retreat of government subsidies has directly weakened the financial support available to the stakeholders of new energy vehicles (NEVs). In this context, upstream and downstream enterprises of NEV are constantly seeking new business models of cooperation to achieve possible win-wins. NEV supply chain shareholding is an emerging new practice for such explorations. However, its performance in the NEV supply chain is seldom investigated. In this paper, we employ a Stackelberg game model to investigate how partial and cross-ownership affect the optimal decisions in a NEV supply chain.
Findings
Results showed that: (1) Compared with the unilateral shareholding model, the battery supplier will benefit from cross-ownership in the supply chain, while the NEV manufacturer will not necessarily benefit from it. At the same time, cross-ownership will bring the greatest incentive for battery R&D (2) Supply chain downstream competition will not necessarily lead to the improvement of the total consumption of NEVs or the level of battery design. Pareto improvement can be brought only when one of the manufacturers holds less than a certain equity threshold. In addition, downstream competition will also not necessarily bring more benefits to the battery supplier.
Originality/value
At present, NEV supply chain management has attracted widespread attention from scholars from all walks of life. Previous studies have been carried out that covers topics such as pricing strategies and optimal profits and the role of NEV in the sustainable development of the automotive industry supply chain, or disparate impacts of government subsidies and carbon emission regulation on supply chain members. However, as far as the authors know, compared with the new emerging NEV corporate practice, the shareholding phenomenon between upstream and downstream in the supply chain of NEV has not been studied in the existing studies.
Details
Keywords
This study aims to analyze the effect of the board of directors on financial performance, either directly or indirectly, through the existence of risk management after the…
Abstract
Purpose
This study aims to analyze the effect of the board of directors on financial performance, either directly or indirectly, through the existence of risk management after the issuance of the Palestinian Code on Corporate Governance in Palestine.
Design/methodology/approach
This study uses a panel data of 31 Palestinian listed companies from 2010 to 2016. It also uses structural equation modeling (SEM) model.
Findings
The results of the SEM model show a significant positive relationship of the existence of risk management and the tenure-chief executive officer (CEO) with financial performance. However, CEO duality has a significant negative relationship with financial performance. The results also show a significant positive relationship of CEO duality and board size with financial performance through the existence of risk management.
Research limitations/implications
This study adds to the existing literature by analyzing the effect of the board of directors on financial performance, either directly or indirectly, through the existence of risk management in Palestine, one of the youngest stock exchanges in the region, which assists in testing the validity of agency theory in a young and small emerging Islamic market context.
Practical implications
The results of this paper are significant for shareholders and managers of companies to make proper choices to secure the interests of stakeholders and increase the flow of capital and foreign investment.
Originality/value
To the best of the author’s knowledge, it is one of the first papers to investigate the effect of the board of directors on financial performance, either directly or indirectly, through the existence of risk management in Palestine.
Details
Keywords
Marziana Madah Marzuki, Wan Zurina Nik Abdul Majid, Hatinah Abu Bakar, Effiezal Aswadi Abdul Wahab and Zuraidah Mohd Sanusi
This paper investigates the relationship between risk management practices and potential fraudulent financial reporting in Malaysia by considering recent regulatory reforms of the…
Abstract
Purpose
This paper investigates the relationship between risk management practices and potential fraudulent financial reporting in Malaysia by considering recent regulatory reforms of the Malaysian government on risk management practices.
Design/methodology/approach
The sample of this study was based on 257 firm-year observations during the 2012–2017 period. This study employed panel-least square regressions with period fixed effects.
Findings
This study found a significant association between risk management activities in the disclosure and potential fraudulent financial reporting. Nevertheless, this study found there is insignificant effect of the risk-management committee in reducing potential of fraudulent financial reporting.
Originality/value
This study is a pioneer research that relates firms’ risk management practices with potential fraudulent financial reporting measured by F-score. Thus, this study provides an insight to regulators on the extent of risk-management practices in deterring potential fraudulent financial reporting which can be used as an input for greater enforcement of risk-management regulations.
Details